Multi-select rows in Datagrid

[WhiteWizard]

I am trying to implement standard multi-select of rows in a datagrid. That
is, allow the user to use the CTRL & SHIFT keys to select multiple rows in a
datagrid. Then I'll loop through them and process the selected rows.

The problem is that the KEY events don't seem to be firing on the datagrid.
When I just click on a column of the datagrid, and then press a key, the
events fire. However, when I use the above keys and select some rows, the
KeyUp event does NOT fire. I've tried the KeyPress event as well, and it does
not fire either. The mouse events fire, but not the Key events. Does anyone
know if this is a bug, or feature?

By the way I've tried this in both VS2003 and VS2005.

WhiteWizard (aka Gandalf)