{....}
public
 procedure AppMessage(var Msg: TMsg; var Handled: Boolean);
{....}

procedure TForm1.AppMessage(var Msg: TMsg; var Handled: Boolean);
var
 i: SmallInt;
begin
 {Mouse wheel behaves strangely with dgbgrids - this proc sorts this out}
 if Msg.message = WM_MOUSEWHEEL then
 begin
  Msg.message := WM_KEYDOWN;
  Msg.lParam := 0;
  i := HiWord(Msg.wParam);
  if i > 0 then
  Msg.wParam := VK_UP
  else
  Msg.wParam := VK_DOWN;
  Handled := False;
 end;
end;
 // And in the project source:
{....}
Application.OnMessage := Form1.AppMessage;
{....}