keydown event does not fire in a datagrid

I have a Datagrid that is inside a panel. I want to use the keyDown event to
reconize the arrow keys. But I have no luck at all. The problem is that the
keydown event won’t fire at all, unless I click on a row (withs will turn
blue then) and then click on it again . Now if I press any key the event will
fire (except for the arrow keys).