If you set the default style in a column, for example:
this.dataGridView1.Columns[index].DefaultCellStyle.WrapMode = DataGridViewTriState.True;
you can enter multi-line mode by pressing SHIFT-ENTER
Otherwise, you can change the cell control editor by overriding the dataGridView or by handling the EditingControlShowing event (the control is a text field by default)
EDIT: here is almost the same question: DataGridView: how can I make an input key, add a new row instead of changing the current cell?
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