Hi,you need to handle the EditingControlShowing event on the DataGridView control.
please check following method
Code Snippet
Private Sub DataGridView1_EditingControlShowing(ByVal sender As System.Object, ByVal e As DataGridViewEditingControlShowingEventArgs) Handles DataGridView1.EditingControlShowing
Dim editingComboBox As ComboBox = e.Control
AddHandler editingComboBox.SelectedIndexChanged, AddressOf Me.editingComboBox_SelectedIndexChanged
End Sub
Private Sub editingComboBox_SelectedIndexChanged(ByVal sender As Object, ByVal e As System.EventArgs)
End Sub
For more information, please check following link
http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=54048&SiteID=1
http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=1801363&SiteID=1