private
   Procedure OnMouseWheel(Var Msg :TMsg;var Handled:Boolean);    先声明私有过程。

过程如下：

procedure TForm1.OnMouseWheel(Var Msg :TMsg;var Handled:Boolean);
begin
   if Msg.message = WM_MouseWheel then
begin
    if Msg.wParam > 0 then
     begin
       if DBGrid1.Focused then
         SendMessage(DBGrid1.Handle,WM_VSCROLL,SB_PAGEUP,0);
     end
    else
     begin
       if DBGrid1.Focused then
         SendMessage(DBGrid1.Handle,WM_VSCROLL,SB_PAGEDOWN,0);
     end;
    Handled:= True;
end;
end;

然后再

procedure TForm1.FormCreate(Sender: TObject);
begin
Application.OnMessage:=OnMouseWheel; // 截获鼠标滚动事

ADOQuery1.SQL.Add('select * from 2007各行政区划结果数据2');
ADOQuery1.Open;
end;

即可实现滚轮连动效果。