Dear Geeta,
                    what I have understood from ur question, the
following code might help you in ur task. It binds a ArrayList to a
combobox and then attaches the comboBox to the DataGrid

            DataGridTableStyle ts = new DataGridTableStyle();
            ts.MappingName = "ArrayList";

            int colwidth = (this.dataGrid1.ClientSize.Width
                - ts.RowHeaderWidth
                - SystemInformation.VerticalScrollBarWidth - 2) / 2;

            // Create a column for the "Name" property
            // defined in the EntityField Class
            DataGridTextBoxColumn cs = new DataGridTextBoxColumn();
            cs.MappingName = "FieldName";  // Public property name
            cs.HeaderText = "Field Name";
            cs.Format = "f4";
            cs.Width = colwidth;
            cs.ReadOnly=true;
            ts.GridColumnStyles.Add(cs);

            cs = new DataGridTextBoxColumn();
            cs.MappingName = "Order";  // Public property name
            cs.HeaderText = "Order";
            cs.Format = "f4";
            cs.Width = colwidth;
            cs.ReadOnly=true;
            ts.GridColumnStyles.Add(cs);
            // Add the custom tablestyle to the DataGrid
            this.dataGrid1.TableStyles.Clear();
            this.dataGrid1.TableStyles.Add(ts);
            this.dataGrid1.DataSource =lstOrderByFields;
            DataGridTextBoxColumn datagridtextBox=
(DataGridTextBoxColumn)this.dataGrid1.TableStyles[0].GridColumnStyles[1];
            //for(int j=0;j<lstTables.Count;j++)

            cmb=new ComboBox();
            cmb.Height=datagridtextBox.TextBox.Height;
            cmb.Width=colwidth;

            cmb.DropDownStyle=ComboBoxStyle.DropDownList;
            cmb.Items.Add(ASCENDING);
            cmb.Items.Add(DESCENDING);
            cmb.Dock=DockStyle.Fill;
            cmb.SelectedIndexChanged+=new
EventHandler(cmb_SelectedIndexChanged);
            datagridtextBox.TextBox.Controls.Add(cmb);

I hope it helps.

Regards,
Naveed Ahmad Bajwa
Kalsoft Pvt Ltd