Code:

        //The child grid ultraGridUserCustLocations is bound to userCollectionBindingSource
        //userCollectionBindingSource is bound to userCustomerLocationsCollection1
        //The parent grid is ultraGridUsers
        private void userCollectionBindingSource_CurrentChanged(object sender, EventArgs e)
        {
            //The parent record has changed. Load the new child details
            User usr = new User();
            usr = (User)userCollectionBindingSource.Current;
            userCustomerLocationsCollection1 = usr.UserCustomerLocationsCollectionByUserId;
            bindingSourceUserCustLocations.DataSource = userCustomerLocationsCollection1;
        }

        private void ultraGridUserCustLocations_AfterRowsDeleted(object sender, EventArgs e)
        {
            //Update the collection to remove the deleted entry
            if (userCustomerLocationsCollection1.IsDirty)
            {
                userCustomerLocationsCollection1.Save();
            }
        }

        private void CheckUserCustLocationDataRow()
        {
            //Check if this is a new row the user is adding
            if (ultraGridUserCustLocations.ActiveRow != null && 
                ultraGridUserCustLocations.ActiveRow.IsAddRow)
            {
                if (!ultraGridUserCustLocations.ActiveRow.IsUnmodifiedTemplateAddRow)
                {
                    //Set the primary key that is not shown in this detail grid
                    ultraGridUserCustLocations.ActiveRow.Cells["UserId"].Value =
                        ultraGridUsers.ActiveRow.Cells["UserId"].Value;
                }
                else
                {
                    //User entered and exited the new record without changing anything.
                    ultraGridUserCustLocations.ActiveRow.CancelUpdate();
                }
            }
            //If this row has been changed persist the changes to the database
            if (ultraGridUserCustLocations.ActiveRow != null && 
                 (ultraGridUserCustLocations.ActiveRow.DataChanged || ultraGridUserCustLocations.ActiveRow.IsDeleted))
            {
                ultraGridUserCustLocations.UpdateData();
                if (userCustomerLocationsCollection1.IsDirty)
                {
                    userCustomerLocationsCollection1.Save();
                }
            }
        }
 

Code:

        private void ultraGridUserCustLocations_BeforeRowDeactivate(object sender, System.ComponentModel.CancelEventArgs e)
        {
            if (!CheckUserCustLocationDataRow())
            {
                e.Cancel = true;
            }
        }
        private void ultraGridUserCustLocations_Leave(object sender, EventArgs e)
        {
            //Currently testing this to see if this works the way I need it to.

            //Clicking on another grid does not deactivate the row, but I need to check
            //the row before I go to another grid, so deactivate the row from here.
            ultraGridUserCustLocations.ActiveRow.Activated = false;
        }
        private void frmUsers_FormClosing(object sender, FormClosingEventArgs e)
        {
            if (!CheckUserCustLocationDataRow())
            {
                e.Cancel = true;
            }
        }