If your ComboBox is part of a ComboBoxColumn then Manfred's solution might not work.
Take a look at
this[
^] thread on MSDN.Social (Scroll down until you see the first message from 'mcassoc') and in that message take note of the event handler for the
EditingControlShowing
event. Using that code to handle that event on your DataGridView will enable you to achieve what you want.