That does not seem to be the problem. Please read on.

Remember, the code works for any customer I select, but only the first
time.

1.) Currently I have the LoadOrderGrid() call in
cboCustomers_SelectionChangeCommitted ~ this works as described.

2.) Before that I had the LoadOrderGrid() call a button on the form
btnLoadOrders_Click ~ this works as described.

3.) I tried your suggestion and put the call in
cboCustomers_SelectedValueChanged ~ this returns the
'System.InvalidCastException' error before the form opens. The error
occurs on the following statement:
SqlDataAdapter1.Fill(DsOrders1, "Orders")

======= my code =======
   Private Sub LoadOrderGrid()

       'Supply the Parameter to the stored procedure for the OrderID
       SqlSelectCommand1.Parameters("@CustomerID").Value =
cboCustomers.SelectedValue
       
       'Fill the DataSet
       SqlDataAdapter1.Fill(DsOrders1, "Orders")

       'Populate the DataGrid by supplying the DataSource
       OrderGrid.DataSource = DsOrders1.Tables("Orders").DefaultView

   End Sub

   Private Sub LoadOrderDetails()
       Dim intOrderID As Integer 'OrderID
       Dim intOrderOrdinalColumn As Integer 'Column
       Dim intOrderOrdinalRow As Integer 'Row
       Dim cellOrder As DataGridCell 'Cell

       cellOrder = OrderGrid.CurrentCell 'Current order cell

       'Clear the OrderDetail DataSet & DataGrid
       DsOrderDetail1.Clear()
       OrderDetailsGrid.Refresh()

       'Determine the column
       '0 indicates the column where the OrderID is stored
       intOrderOrdinalColumn = 0

       'Determine the row
       intOrderOrdinalRow = cellOrder.RowNumber

       'Gets the value of the cell at the specified the row and column
(returns Object)
       intOrderID = CInt(OrderGrid(intOrderOrdinalRow,
intOrderOrdinalColumn))

       'Supply the Parameter to the stored procedure for the OrderID
       SqlSelectCommand2.Parameters("@OrderID").Value = intOrderID

       'Fill the DataSet
       SqlDataAdapter2.Fill(DsOrderDetail1, "OrderDetails")

       'Populate the DataGrid by supplying the DataSource
       OrderDetailsGrid.DataSource =
DsOrderDetail1.Tables("OrderDetails").DefaultView

   End Sub

   Private m_intRowNumber As Integer

   Private Sub OrderGrid_CurrentCellChanged(ByVal sender As Object,
ByVal e As System.EventArgs) Handles OrderGrid.CurrentCellChanged

       'get the last row number
       Dim intRowNumber As Integer = m_intRowNumber

       'get the current row number
       m_intRowNumber = (OrderGrid.CurrentCell.RowNumber())

       'compare last with current to see if there was a change in row
selection
       If m_intRowNumber <> intRowNumber Then
           LoadOrderDetails()
       End If
   End Sub

   Private Sub NWShoppingCartControl_Load(ByVal sender As Object, ByVal
e As System.EventArgs) Handles MyBase.Load

       'Fill the DataSet
       SqlDataAdapter3.Fill(DsCustomers1, "Customers")

       'Supply the DataSource to the Control
       cboCustomers.DataSource = DsCustomers1.Tables("Customers")

       'Specify the DisplayMember & ValueMember
       cboCustomers.DisplayMember = "CompanyName"
       cboCustomers.ValueMember = "CustomerID"

       'Run the Code to Fill the DataGrid
       '        LoadOrderGrid()
   End Sub

   Private Sub cboCustomers_SelectionChangeCommitted(ByVal sender As
Object, ByVal e As System.EventArgs) Handles
cboCustomers.SelectionChangeCommitted

       'Run the Code to Fill the DataGrid
       '        LoadOrderGrid()

   End Sub

   Private Sub btnLoadOrders_Click(ByVal sender As System.Object, ByVal
e As System.EventArgs) Handles btnLoadOrders.Click

       'Run the Code to Fill the DataGrid
       '        LoadOrderGrid()
   End Sub

   Private Sub cboCustomers_SelectedValueChanged(ByVal sender As
Object, ByVal e As System.EventArgs) Handles
cboCustomers.SelectedValueChanged
       'Run the Code to Fill the DataGrid
       LoadOrderGrid()
   End Sub

======================================