You need to handle two events for the datagridview
EditingControlShowing of the datagridview and in the eventhandler attach the eventhandler for selectedindexchanged of the combobox
this.dataGridView1.EditingControlShowing += new DataGridViewEditingControlShowingEventHandler(OnEditControlShowing);
void OnEditControlShowing(object sender, DataGridViewEditingControlShowingEventArgs e)
{
if (e.Control is ComboBox)
{
((ComboBox)e.Control).SelectedIndexChanged += new EventHandler(OnSelectIndexChanged);
}
}