public
   procedure AppMessage(var Msg: TMsg; var Handled: Boolean); 
      {....} 
 procedure TForm1.AppMessage(var Msg: TMsg; var Handled: Boolean);
 var
   i: SmallInt;
 begin
   {Mouse wheel behaves strangely with dgbgrids - this proc sorts this out}
   if Msg.message = WM_MOUSEWHEEL then
   begin
     Msg.message := WM_KEYDOWN;
     Msg.lParam := 0;
     i := HiWord(Msg.wParam);
     if i > 0 then
       Msg.wParam := VK_UP
     else
       Msg.wParam := VK_DOWN;

     Handled := False;
   end;
 end; 
   // Und im Projekt Source: 
  // And in the project source: 

{....}

 Application.OnMessage := Form1.AppMessage;

 {....}