Hi gdhigbee,
I will probably need a reproducing sample application to know exactly what is causing this, because there are quite a few unresolved DataGridView problems related to focusing.
What we do know generally, is that in case you register an event handler for your DGV and then you update something on your form within that event handler, some browsers (especially IE) are sensitive to that and may loose the focus out of the DGV in that case. You can see a code fragment with a workaround that may help in some cases within this thread here.
If you can't make it work this way, pleae create the most minimal reproducing sample application, clean it, zip it and then email it to the support email address (see my signature) along with the full Http reference to this thread. Please also add a post here when you have sent it.
Hope this helps,
Palli