Here's my example:

<asp:TemplateColumn SortExpression="STE" HeaderText="State">
    <ItemTemplate>
        <asp:Label Runat="server" Text='<%#
((SortedList)Session["stateTypes"])[(((System.Data.DataRowView)Container.DataItem)["STE"])]
%>'>
        </asp:Label>
    </ItemTemplate>
    <EditItemTemplate>
        <asp:DropDownList runat="server" DataSource='<%#
((SortedList)Session["stateTypes"]) %>' SelectedIndex='<%#
((SortedList)Session["stateTypes"]).IndexOfKey(((System.Data.DataRowView)Container.DataItem)["STE"])
%>' DataValueField="Key" DataTextField="Value" ID="ddlState">
        </asp:DropDownList>
    </EditItemTemplate>
</asp:TemplateColumn>

and i have something like this in my codebehind when the page loads
up.

stateTypes = new SortedList();
stateTypes.Add("","");
stateTypes.Add("W","Waiting");
stateTypes.Add("H","On Hold");
stateTypes.Add("I","In Process");
Session["stateTypes"] = stateTypes;

hope this helps.

-Adam

Check out this article,
http://msdn.microsoft.com/library/en-us/dv_vstechart/html/vbtchTopQuestionsA
boutASPNETDataGridServerControl.asp?frame=true#vbtchtopquestionsaboutaspnetd
atagridservercontroleditingmultiplerows

--
Saravana
Microsoft MVP - ASP.NET
www.extremeexperts.com