Datagrid - cell editing problem

This is probably a newbie question, but I need help in the following: In my aplication, I have a datagrid with a dataset as datasource. When a user edits the content of cell in a datagrid, the new value is only updated when the cell loses the focus. If I update the dataset when the cell is being edited, the new value is lost. How can I update the dataset, saving the changes, when the cell is being edited?