If you only want to draw your special window when a cell is the active cell, then the simplest thing to try is to override the renderer's OnDraw method, and if the cell is a current cell and is active, then display your window. Otherwise, call the baseclass.
protected override void OnDraw(Graphics g, Rectangle clientRectangle, int rowIndex, int colIndex, GridStyleInfo style)
if (Grid.CurrentCell.HasCurrentCellAt(rowIndex, colIndex) && CurrentCell.IsEditing && !Grid.IsPrinting())
//show you window....
// static cell
base.OnDraw(g, clientRectangle, rowIndex, colIndex, style);
As far as samples, here are some:
1) the CustomCellTutoral that displays a LinkLable cell
2) button cells in the Button cells sample
3) bitmap cells in the Exel-like selection sample.
If you submit a Direct Trac incident, you can request some new samples that will be part of the upcoming 1.6 release (MaskeEdit, Currency and WinForm in a cell).