If I understand you, class generated means you want to generate the form with the datagridview by code. Whichever, take a peep into the code generated by the designer when you drop a datagridview onto the form and after configuring the datagridview datasource (preferred datasource is a BindingSource just in case), then configure one of the columns by changing the default GridViewTexBoxColumnType to ComboBoxColumnType. Remember, you'll need to set the DisplayMember and ValueMember. Study the generated code in the WinForm e.g Form1.designer.
vb.