I discuss this in my book, ASP.NET Data Web Controls Kick Start.

Also, you might want to look into Andy Smith's free RowSelectorColumn:
http://metabuilders.com/Tools/RowSelectorColumn.aspx

In your html section, type the following

<asp:TemplateColumn SortExpression="VName" HeaderText="Vendor"><ItemTemplate><%# Container.DataItem("VName") %></ItemTemplate><FooterTemplate><asp:DropDownList id=VendorA runat="server" DataSource="<%# GetVendors() %>" DataValueField="VName" DataTextField="VName" ></asp:DropDownList></FooterTemplate><EditItemTemplate><asp:DropDownList id=VendorE runat="server" DataSource="<%# GetVendors() %>" DataValueField="VName" DataTextField="VName" SelectedIndex='<%# GetSelectedIndex(Container.DataItem("VName")) %>'/></asp:DropDownList></EditItemTemplate

In your VB Section, type the follwing

Function GetVendors() As DataSe
       Dim da As SqlDataAdapte

       Dim strSQL As Strin
       Dim strCnn As Strin
     
       strSQL = "SELECT Distinct VName FROM  Vendors" 'Constants.SqlStrin
       strCnn = Constants.ConnectionStrin

       da = New SqlDataAdapter(strSQL, strCnn
       ' ddlDataSet = New DataSe

       da.Fill(ddlDataSet, "VTable"

       'Session("DataView") = ds.Tables("VTable").DefaultVie
       Return ddlDataSe

       ' Return Session("DataView") 'Return the DataSe
   End Functio

I am sure you will figure out what you need to do.  Also, on this page, there is a good sample

http://authors.aspalliance.com/das/dgcombo.asp

Good luck!