Here is solution of this problem:
[VB.Net]
Public Class TestCol
    Inherits Column
    Sub New(ByVal colName As String)
        MyBase.New(colName)
    End Sub
    Protected Overrides Sub OnEditorSetup(ByVal editor As System.Windows.Forms.TextBox)
        'connect to the editor's events
        AddHandler editor.KeyDown, AddressOf Me.OnEditorKeyDown
    End Sub
    Private Sub OnEditorKeyDown(ByVal sender As Object, ByVal e As KeyEventArgs)
        MessageBox.Show(\"hello\")
    End Sub
    Public Overrides Function HandleKeyDown(ByVal grid As NineRays.Windows.Forms.FlyGrid, ByVal node As NineRays.Windows.Forms.Data.NodeBase, ByVal ke As System.Windows.Forms.KeyEventArgs) As Boolean
        Return True
    End Function
    
    Public Overrides Sub OnKeyDown(ByVal grid As NineRays.Windows.Forms.FlyGrid, ByVal node As NineRays.Windows.Forms.Data.NodeBase, ByVal ke As System.Windows.Forms.KeyEventArgs)
        MessageBox.Show(\"hello\")
    End Sub    
End Class