C#

public void Func(object Request, object Response)
{
    if (this.InvokeRequired)
    {
        this.Invoke(new ResponseHandlerDelegate(ResponseHandler), new object[] { Request, Response });
        return;
    }

    // Do stuff with the UI
    //
}

SELECT Name, Number, Lookup FROM ValuesTable

foreach (DataGridViewRow row in myDataGridView.Rows)
{
    if (row.Cells["Lookup"].Value.ToString() != "0")
    {
		DataGridViewComboBoxCell myComboCell = new DataGridViewComboBoxCell();
		using (SqlCommand mySqlCommand = new SqlCommand("SELECT Number, Text FROM LookupTable"))
		{
		    using (SqlDataReader mySqlDataReader = sqlCommand.ExecuteReader())
		    {
		        DataSet ds1 = new DataSet();
		        DataTable dt1 = new DataTable();
		        ds1.Tables.Add(dt1);
		        ds1.Load(mySqlDataReader, LoadOption.PreserveChanges, ds1.Tables[0]);
		        myComboCell.DataSource = ds1.Tables[0];
		        myComboCell.DisplayMember = "Text";
		        myComboCell.ValueMember = "Number";
		    }
		}
		row.Cells["Value"] = newCell;
	}
}