How can I change the behavior of the grid when the user clicks into a cell. For example, I want the cells to switch into edit mode as soon as the user clicks anywhere in the cell

You could call CGXGridParam::SetActivateCellFlags(WORD wFlags) whereas wFlags can be one of:

const WORD GX_CAFOCUS_CLICKINTEXT   = 0x01;     // (default)
const WORD GX_CAFOCUS_CLICKONCELL   = 0x02;
const WORD GX_CAFOCUS_SETCURRENT    = 0x04;
const WORD GX_CAFOCUS_DBLCLICKONCELL = 0x08;

Take a look at the class reference for this method.  In the specific case, you should call

   GetParam( )->SetActivateCellFlags(GX_CAFOCUS_CLICKONCELL);