If you want to ignore them as they are typed, try handling CurrentCellValidateString, and cancel things if the e.Text is not valid. Here is code that checks for numbers in column 1.
Private Sub grid_CurrentCellValidateString(ByVal sender As Object, ByVal e As GridCurrentCellValidateStringEventArgs) Handles grid.CurrentCellValidateString
Dim d As Double
Dim cc As GridCurrentCell = Me.grid.CurrentCell
If cc.ColIndex = 1 AndAlso e.Text.Length > 0 _
AndAlso Not Double.TryParse(e.Text, Globalization.NumberStyles.Any, Nothing, d) Then
e.Cancel = True
End If
End Sub