A: Here is a component that will do it:

unit Lloyd;

interface

uses
  SysUtils, WinTypes, WinProcs, Messages, Classes, Graphics, Controls, Forms, Dialogs, Grids, DBGrids;

type
  TMouseGrid = class(TDBGrid)
  private
    { Private declarations }
    FOnMouseDown: TMouseEvent;
  protected
    { Protected declarations }
    procedure MouseDown(Button: TMouseButton; Shift: TShiftState; X, Y: Integer); override;
  public
    { Public declarations }
  published
    { Published declarations }
    property OnMouseDown read FOnMouseDown write FOnMouseDown;
  end;

procedure Register;

implementation

procedure TMouseGrid.MouseDown(Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
begin
  if Assigned(FOnMouseDown) then FOnMouseDown(Self, Button, Shift, X, Y);
  inherited MouseDown(Button, Shift, X, Y);
end;

procedure Register;
begin
  RegisterComponents('Custom', [TMouseGrid]);
end;

end.