It's a little down-n-dirty, but you could use a worksheet_change event looking at some application attributes to ascertain which direction and key was pressed. The downside of this if if you have your direction after enter as either Right or Left, as you can't ascertain if Enter or Tab was pressed. Here is the code ...
<font face=Tahoma New><SPAN style="color:#00007F">Private</SPAN> <SPAN style="color:#00007F">Sub</SPAN> Worksheet_Change(<SPAN style="color:#00007F">ByVal</SPAN> Target <SPAN style="color:#00007F">As</SPAN> Range)
<SPAN style="color:#00007F">Dim</SPAN> strKey <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">String</SPAN>, strDir <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">String</SPAN>, strProt <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">String</SPAN>, strMsg <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">String</SPAN>
<SPAN style="color:#00007F">Dim</SPAN> c <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>, tc <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>, r <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>, tr <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
<SPAN style="color:#00007F">Dim</SPAN> varMyDirection <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Variant</SPAN>
<SPAN style="color:#00007F">On</SPAN> <SPAN style="color:#00007F">Error</SPAN> <SPAN style="color:#00007F">GoTo</SPAN> ErrHandler
c = ActiveCell.Column: r = ActiveCell.Row
tc = Target.Column: tr = Target.Row
varMyDirection = Application.MoveAfterReturnDirection
<SPAN style="color:#00007F">If</SPAN> varMyDirection = -4121 <SPAN style="color:#00007F">Then</SPAN> strDir = "Down"
<SPAN style="color:#00007F">If</SPAN> varMyDirection = -4161 <SPAN style="color:#00007F">Then</SPAN> strDir = "Right"
<SPAN style="color:#00007F">If</SPAN> varMyDirection = -4162 <SPAN style="color:#00007F">Then</SPAN> strDir = "Up"
<SPAN style="color:#00007F">If</SPAN> varMyDirection = -4159 <SPAN style="color:#00007F">Then</SPAN> strDir = "Left"
<SPAN style="color:#00007F">Select</SPAN> <SPAN style="color:#00007F">Case</SPAN> strDir
<SPAN style="color:#00007F">Case</SPAN> "Down"
<SPAN style="color:#00007F">If</SPAN> c = tc And r > tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Enter"
<SPAN style="color:#00007F">If</SPAN> c = tc And r < tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Enter"
<SPAN style="color:#00007F">If</SPAN> c > tc And r = tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Tab"
<SPAN style="color:#00007F">If</SPAN> c < tc And r = tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Tab"
<SPAN style="color:#00007F">Case</SPAN> "Up"
<SPAN style="color:#00007F">If</SPAN> c = tc And r < tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Enter"
<SPAN style="color:#00007F">If</SPAN> c = tc And r > tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Enter"
<SPAN style="color:#00007F">If</SPAN> c < tc And r = tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Tab"
<SPAN style="color:#00007F">If</SPAN> c > tc And r = tr <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Tab"
<SPAN style="color:#00007F">Case</SPAN> "Right"
<SPAN style="color:#00007F">If</SPAN> r = tr And c > tc <SPAN style="color:#00007F">Then</SPAN> strKey = "Enter or Tab"
<SPAN style="color:#00007F">If</SPAN> r = tr And c < tc <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Enter or Tab"
<SPAN style="color:#00007F">Case</SPAN> "Left"
<SPAN style="color:#00007F">If</SPAN> r = tr And c < tc <SPAN style="color:#00007F">Then</SPAN> strKey = "Enter or Tab"
<SPAN style="color:#00007F">If</SPAN> r = tr And c > tc <SPAN style="color:#00007F">Then</SPAN> strKey = "Shift + Enter or Tab"
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Select</SPAN>
<SPAN style="color:#00007F">If</SPAN> c = tc And r = tr <SPAN style="color:#00007F">Then</SPAN> strKey = "(formula bar) Confirm"
<SPAN style="color:#00007F">If</SPAN> Me.ProtectionMode = <SPAN style="color:#00007F">True</SPAN> <SPAN style="color:#00007F">Then</SPAN>
strProt = vbNewLine & vbNewLine & "This sheet is protected, which will" & vbNewLine & _
"affect the Tab key of the operation, possibly giving" & vbNewLine & _
"erroneous results."
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">If</SPAN>
strMsg = "The direction is " & strDir & " and the key pressed was " & strKey & "."
<SPAN style="color:#00007F">If</SPAN> strProt <> "" <SPAN style="color:#00007F">Then</SPAN>
strMsg = strMsg & vbNewLine & vbNewLine & strProt
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">If</SPAN>
MsgBox strMsg, vbInformation, "DIRECTIONAL INFORMATION"
<SPAN style="color:#00007F">Exit</SPAN> <SPAN style="color:#00007F">Sub</SPAN>
ErrHandler:
MsgBox "An error has occured with your application settings!" & vbNewLine & _
"Please check your settings and ensure you have all components" & vbNewLine & _
"installed and the application is not corrupt." & vbNewLine & vbNewLine & _
"For more information, search:" & vbNewLine & vbNewLine & _
"http://msdn2.microsoft.com/en-us/default.aspx", vbInformation
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Sub</SPAN></FONT>
HTH
Edit: Left out two pieces of string on the Left and Right changes.