Basically it is the same principle.
On the cellchanged event:
1. Clear the controls in the Current cell.
2. Create a new DropDownList.
3. Populate the DropDownList from the database with the options.
4. Set the OnChange EventHandler
5. Add it to the CurrentCell Control library
On the OnChange Event:
1. Use the CurrentCell.Row (May be DataGrid.CurrentRow, can't remember off the top of my head).
2. Update the DataTable/DataSet that is associated with the row with the selected info from the drop down list.
NOTE: You must make sure that the datagrid is not ordered by a non-default field or when the selection is made you will update the wrong record in the DataTable.
I found this to be a pretty good article: http://www.codeproject.com/cs/miscctrl/DataGridZen.asp
Hope this helps,
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