You can do this in a CurrentCellValidating event handler.
Private Sub GridDataBoundGrid1_CurrentCellValidating(ByVal sender As Object, ByVal e As CancelEventArgs) Handles GridDataBoundGrid1.CurrentCellValidating
Dim cc As GridCurrentCell = Me.GridDataBoundGrid1.CurrentCell
Dim s As String = cc.Renderer.ControlText
Try
Dim d As Double = double.Parse(s)
Catch
'bad value
e.Cancel = True
cc.ErrorMessage = "MyMessage"
EndTry
End Sub