I think it will be exceptionally difficult to do this in WinForms with the existing controls. And no, you cannot easily embed a DataGridView inside a DataGridView.
Have you looked at WPF? It is the new library for Windows forms development and it is MUCH closer to ASP.NET.
The WPF forum is here:
http://social.msdn.microsoft.com/forums/en-US/wpf/threads/And a "getting started" page is here:
http://windowsclient.net/default.aspxHope this helps.
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