After setting datasource, you can add columns in datagridview as shown below,
DataGridView1.DataSource = dt
Dim comboColumn As New DataGridViewComboBoxColumn
comboColumn.Items.Add("a")
comboColumn.Items.Add("b")
DataGridView1.Columns.Insert(DataGridView1.Columns.Count, comboColumn)
DataGridView1.Columns.Insert(DataGridView1.Columns.Count, New DataGridViewCheckBoxColumn)