If you need that you should create your own component implementing mx.core.IToolTip and use it to display the tooltip. Write you own handler for toolTipCreate and in this handler set your own component as the tooltip renderer.
private function createTooltip(e:ToolTipEvent):void {
//CustomToolTip should extend the Canvas and implement IToolTip
var tooltip:CustomToolTip = new CustomToolTip();
//you need to set the tooltip property in order to make your component used for tooltip renderer
e.toolTip = tooltip;
}
<mx:DataGrid id="myDataGrid" toolTip=" " toolTipCreate="createToolTip(event)">