try this ,first take a template field then add item template,then inside edit template put the dropdown as follow...
<asp:templatefield headertext="Status" sortexpression="with_status" xmlns:asp="#unknown">
<asp:label id="Label1" runat="server" text="<%# Bind("with_status") %>">
<asp:dropdownlist id="DropDownList1" runat="server">
<asp:listitem value="0">-Select-
<asp:listitem value="1">pending
<asp:listitem value="2">completed
aspx.cs
on rowupdating put the following code
DropDownList ddl2 = (DropDownList)GridView1.Rows[e.RowIndex].FindControl("DropDownList1");
if (ddl2.SelectedValue.ToString() != "0")
{
SqlDataSource1.UpdateParameters["with_status"].DefaultValue = ddl2.SelectedItem.ToString();
}