The TabStopIndex value is what indicates which field should receive focus next when the Tab key is pressed. Additionally, you can disable a control's TabStop entirely by setting it through the KeyboardNavigation.IsTabStop attached property.
XAML:
<DataGrid ItemsSource="{Binding}" AutoGenerateColumns="False">
<DataGrid.Resources>
<Style x:Key="NoTabStopStyle" TargetType="{x:Type DataGridCell}">
<Setter Property="KeyboardNavigation.IsTabStop" Value="False"/>
</Style>
</DataGrid.Resources>
<DataGrid.Columns>
<DataGridTextColumn Binding="{Binding Path=FirstColumn}" CellStyle="{StaticResource NoTabStopStyle}"/>
<DataGridTextColumn Binding="{Binding Path=SecondColumn}"/>
<DataGridTextColumn Binding="{Binding Path=ThirdColumn}" CellStyle="{StaticResource NoTabStopStyle}"/>
</DataGrid.Columns>
</DataGrid>