You can use RadGridView.AddingNewDataItem event to provide whatever object you want to enter in the grid.
Indeed RadGridView.CurrentCell is a read only property. We'll try to introduce some improvements related to this case, such as CurrentColumn which with combination with CurrentItem will give you a CurrentCell, for the upcoming Q1 2010 service pack. Meanwhile there is an option you can use with an ObservableCollection as a data source. I'm attaching a sample project for a reference.
If this doesn't help, please provide me with more info about your scenario (type of the data source to which RadGridView is bound and any information you can find useful)?
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