This appears to be a Win2K issue. You can hear the same beep whenever you press enter on any TextBox on a form. Our Windows Forms FAQ has a solution for the Windows Forms TextBox.
How to get rid of the gong sound when enter is hit in textbox?
You can apply the same idea to avoid the beep in a gridcell. You do have to derive your own cell control to get at the embbedded TextBox. The attached sample shows how you might go about this.