Private WithEvents dataGridView1 As New DataGridView()

Private Sub AddColorColumn()

    Dim comboBoxColumn As New DataGridViewComboBoxColumn()
    comboBoxColumn.Items.AddRange( _
        Color.Red, Color.Yellow, Color.Green, Color.Blue)
    comboBoxColumn.ValueType = GetType(Color)
    dataGridView1.Columns.Add(comboBoxColumn)

End Sub

Private Sub dataGridView1_EditingControlShowing(ByVal sender As Object, _
    ByVal e As DataGridViewEditingControlShowingEventArgs) _
    Handles dataGridView1.EditingControlShowing

    Dim combo As ComboBox = CType(e.Control, ComboBox)
    If (combo IsNot Nothing) Then

        ' Remove an existing event-handler, if present, to avoid 
        ' adding multiple handlers when the editing control is reused.
        RemoveHandler combo.SelectedIndexChanged, _
            New EventHandler(AddressOf ComboBox_SelectedIndexChanged)

        ' Add the event handler. 
        AddHandler combo.SelectedIndexChanged, _
            New EventHandler(AddressOf ComboBox_SelectedIndexChanged)

    End If

End Sub

Private Sub ComboBox_SelectedIndexChanged( _
    ByVal sender As Object, ByVal e As EventArgs)

    Dim comboBox1 As ComboBox = CType(sender, ComboBox)
    comboBox1.BackColor = _
        CType(CType(sender, ComboBox).SelectedItem, Color)

End Sub