> dataGridView1.Rows[0].Cells[2].Items.Add();
First, you do not say where this code appears; the most likely problem is that it is in the form constructor, which is too early, so put it in the Form Load or the DataBindingComplete event handler.
Second, it is advisable to clear the Items collection first because if you don't and the DataGridViewComboBoxColumn has anything in its items list it will be present, and if you run the above line more than once the items will accumulate. This code works for me:
DataGridViewComboBoxCell comboCell = (DataGridViewComboBoxCell)dataGridView1[2,0];
comboCell.Items.Clear();
comboCell.Items.AddRange(arrayOfItemsForRow0);