C#

<asp:GridView ID="GridView1" runat="server" AutoGenerateColumns="False">
           <Columns>
               <asp:TemplateField>
                   <ItemTemplate>
                         <asp:DropDownList ID="DropDownList1" width="25px" runat="server">
                         </asp:DropDownList>
                   </ItemTemplate>

               </asp:TemplateField>
               <asp:TemplateField>
                   <ItemTemplate>

                   </ItemTemplate>
               </asp:TemplateField>
           </Columns>
   </asp:GridView>

private void InitializeComponent()
{

       //Declaration Block
       this.dataGridView1 = new System.Windows.Forms.DataGridView();
       this.Column1 = new YourCustomControlType();


       //Adding in your DataGridView coloumn range
       this.dataGridView1.Columns.AddRange(new System.Windows.Forms.DataGridViewColumn[] {
            this.Column1});


       // Column1
       this.Column1.HeaderText = "Column1";
       this.Column1.Name = "Column1";
}

private YourCustomControlType Column1;