You picked the wrong event for achieving this effect. Try this (where the TStringGrid is named sg):
procedure TForm1.sgMouseMove(Sender: TObject; Shift: TShiftState; X, Y: Integer);
var
c, r: integer;
begin
sg.MouseToCell(X, Y, c, r);
if (c = 3) then
Screen.Cursor := crHandPoint
else Screen.Cursor := crDefault;
end;