The dbgrid.ocx that comes with VB does not support this feature.  This
easiest way to accomplish this would be to use another control such as the
True Grid or Sheridan Grid control.  

Another way, which is my favorite, is to program the effect yourself using
a combobox and the msflexgrid.ocx.  The msflex grid has properties
indicating the X,Y location of each cell as well as the height and width of
each cell.  All that is necessary is to move the combobox to the given
location whenever you enter a combobox cell.  Below is an example EnterCell
event:

Private Sub MSFlexGrid1_EnterCell()
        Combo1.Left = MSFlexGrid1.CellLeft
        Combo1.Top = MSFlexGrid1.CellTop
        Combo1.Width = MSFlexGrid1.CellWidth
        'Note that the Height of a combobox is readonly so you will need to set
the     'height of each grid row as needed.
End Sub

Also, try to use the standard combobox if possible.  This can save memory
since you will not be loading the dbcombo.ocx.

Good luck and I hope this helps,

Chris Bristow