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this.gridBoundColumn5.StyleInfo.DisplayMember = "VEHICLE";
this.gridBoundColumn5.StyleInfo.ValueMember = "VEHICLE";
this.gridBoundColumn5.StyleInfo.DataSource = dtVehicleInfo;
so the grid can match things up when the combobox is not dropped.
Now I am not sure I understand the other part of the problem that you mentioned. Do you want something in dtVehicleInfo to change as a result of using the combobox in the grid? Or do you want the change to show immediately in the User table? Changing dtVehicleInfo is not how foreign tables normally operate as they generally are readonly. Here is your sample back with the changes showing up immediately in the user table. There is a Windows Forms DataGrid dropped on the form so you can see that the user table is changed when the dropdown closes. The default behavior would be to make the change when the user leaves the row.
SampleComboBox.zip