If you are using a GridControl, you can set teh CellValueType on a cell by cell basis.
If you are using a GridDataBoundGrid, what do you want the grid to do when it trys to save this string back into your DataSource which expects a double? Your DataSource is likely to have a problem. Do you want to sabe a DBNull back to the datasource?
When you have the answer to the above question, then you can probably handle QueryCellInfo and SaveCellInfo to do what you need. If you are not pushing this string back to the DataSource, then in SaveCellInfo, you woul dhave to cache it locally. Then in QueryCellInfo, when this special cell is requested, you would provide it (instead of the grid getting some double from the datasource.)
Here is a little sample that expects ints in column 2, but will allow you to enter strings there as well.
WindowsApplication11-1_1960.zip