Form생성부분에
Application.OnMessage := MOUSEWHEELMessage;

위와같이 넣어주고요..

procedure MOUSEWHEELMessage(var Msg: TMsg; var Handled: Boolean);
begin
   if Msg.Message = WM_MOUSEWHEEL then
      if ActiveControl = TControl(dbgrid1) then
      Begin
         if Msg.wParam > 0 then begin
             keybd_event(VK_UP, VK_UP, 0, 0);
             keybd_event(VK_UP, VK_UP, KEYEVENTF_KEYUP, 0);
         end
         else if Msg.wParam < 0 then begin
             keybd_event(VK_DOWN, VK_DOWN, 0, 0);
             keybd_event(VK_DOWN, VK_DOWN, KEYEVENTF_KEYUP, 0);
         end;

         ActiveControl.Invalidate;
      End;
end;