Then I think you will have to use RowAdded event of datagridview
Private Sub DataGridView1_RowsAdded(ByVal sender As Object, ByVal e As System.Windows.Forms.DataGridViewRowsAddedEventArgs) Handles DataGridView1.RowsAdded
Dim dgCombo As DataGridViewComboBoxCell = DataGridView1.Rows(e.RowIndex).Cells("Combo Column Index")
dgCombo.Items.Add("")
''OR
dgCombo.DataSource = "Your Collection"
End Sub
If above code doesn't work then post what you have done upto now.
Gaurav Khanna