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In a grid with several columns, how can I get the focus to change to the top of the next column when the down key is pressed at the bottom of a row?

First you need to track the focus changing event. In the event handler just check whether the row is the last row in the grid and then manually change the focus to the desired cell. The following FAQ can be helpful in this regard.
How to get the selected row indexes from the grid window, or change selections programmatically?