en el evento EditingControlShowing del datagridview creas el evento:

Dim comboBox1 As ComboBox = CType(e.Control, ComboBox)
AddHandler comboBox1.SelectedIndexChanged, _
New EventHandler(AddressOf ComboBox_SelectedIndexChanged) 'creo el evento selectedindexchanged

despues creas el procedimiento

Private Sub ComboBox_SelectedIndexChanged( _
ByVal sender As Object, ByVal e As EventArgs)

y listo!!!!

espero te sirva