procedure TForm1.DateTimePicker1Change(Sender: TObject);
begin
  { Fazendo o seu dataset receber o valor informado no DateTimePicker }
  if ClientDataSet1.State in dsEditModes then
  begin
    ClientDataSet1DATA.AsDateTime := DateTimePicker1.Date;
  end;
end;

procedure TForm1.DateTimePicker1Exit(Sender: TObject);
begin
  { Seta o foco de volta para o DBGrid depois de sair do DateTimePicker }
  DBGrid1.SetFocus;
end;

procedure TForm1.DBGrid1ColExit(Sender: TObject);
begin
  { Deixa o DateTimePicker invisivível ao sair do foco na coluna. }
  if DBGrid1.SelectedField.FieldName = 'DATA' then
    DateTimePicker1.Visible := False;
end;

procedure TForm1.DBGrid1DrawColumnCell(Sender: TObject; const Rect: TRect;
  DataCol: Integer; Column: TColumn; State: TGridDrawState);
begin
  { Faz o DateTimePicker ficar exatamente na frente do DBGrid }
  if (gdFocused in State) then
  begin
    if (Column.Field.FieldName = 'DATA') then
      with DateTimePicker1 do
      begin
        Left := Rect.Left + DBGrid1.Left + 1;
        Top := Rect.Top + DBGrid1.Top + 1;
        Width := Rect.Right - Rect.Left + 2;
        Width := Rect.Right - Rect.Left + 2;
        Height := Rect.Bottom - Rect.Top + 2;
 
        Visible := True;
      end;
  end;
end;

procedure TForm1.DBGrid1KeyPress(Sender: TObject; var Key: Char);
begin
  if (Key = Chr(9)) then
    Exit;
 
  { Seta os eventos de key press do dbgrid para o DateTimePicker1 }
  if (DBGrid1.SelectedField.FieldName = 'DATA') then
  begin
    DateTimePicker1.SetFocus;
    SendMessage(DateTimePicker1.Handle, WM_Char, word(Key), 0);
  end;
end;