You can use the CellValidating event to do this.

I found the following example in the Microsoft docs and converted to COBOL:

method-id dataGridView1_CellValidating final private.
       procedure division using by value sender as object e as type System.Windows.Forms.DataGridViewCellValidatingEventArgs.
       
          set dataGridView1::Rows[e::RowIndex]::ErrorText to ""
          declare newInteger as binary-long

         *> Don't try to validate the 'new row' until finished  
         *> editing since there 
         *> is not any point in validating its initial value. 
           if (dataGridView1::Rows[e::RowIndex]::IsNewRow) 
              goback
           else
              if not (type Int32::TryParse(e::FormattedValue::ToString, newInteger))
                 set e::Cancel to true
                 set dataGridView1::Rows[e::RowIndex]::ErrorText to "the value must be numeric"
              end-if
           end-if
       end method.
      

Hi Chris,

I had to make some adjustments because this code validates a blank line and I needed to validate the data change. Follows the working code.

    method-id dataGridView1_CellValidating final private.

       procedure division using by value sender as object e as type System.Windows.Forms.DataGridViewCellValidatingEventArgs.
           declare newInteger as binary-long
           declare x as float-short
           set dataGridView1::Rows[e::RowIndex]::ErrorText to ""
                   
           if e::ColumnIndex::Equals(10)
              if not (type Int32::TryParse(e::FormattedValue::ToString, newInteger))
                 set e::Cancel to true
                 set dataGridView1::Rows[e::RowIndex]::ErrorText to "Erro no valor da coluna (TipoDoc)"
                 invoke type MessageBox::Show("Tipo de documento inválido. 1=CPF 2=CNPJ" "Visual Cobol.NET")
              else
                 set x to type System.Convert::ToInt32(e::FormattedValue::ToString())
                 if x < 1 or > 2
                    set e::Cancel to true
                    set dataGridView1::Rows[e::RowIndex]::ErrorText to "Erro no valor da colunha (TipoDoc)"
                    invoke type MessageBox::Show("Tipo de documento inválido. 1=CPF 2=CNPJ" "Visual Cobol.NET")
                 end-if   
              end-if
           end-if      
       end method.

Thank you, I couldn't have done it without you.