Add event selectedindex change event to combobox by using following code
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
then in that event reassign the datasource to first ComboboxColumn.