Corregi algo es:
Private Sub DataGrid1_KeyUP(KeyCode As Integer, Shift As Integer)
If KeyCode = vbKeyUp Or KeyCode = vbKeyDown Then
Text1(0).Text = DataGrid1.Columns(1)
Text1(1).Text = DataGrid1.Columns(2)
End If
End Sub
Solo agrega en proyecto referencias: Microsoft ActiveX Data Objects 2.XX Library
