Вам необходимо создать RepositoryItemLookUpEdit, а затем установить его как свойство column.ColumnEdit:
//Set the dropdown values for the cell
RepositoryItemLookUpEdit colCombo = new RepositoryItemLookUpEdit();
colCombo.ShowHeader = true;
colCombo.ShowFooter = false;
colCombo.DataSource = dsRules.YOURTABLE;
colCombo.DisplayMember = "DESCRIPTION";
colCombo.ValueMember = "ID"; //Your DB column
colCombo.TextEditStyle = DevExpress.XtraEditors.Controls.TextEditStyles.DisableTextEditor;
colCombo.NullText = "";
//colGRIDCOLUMN is your DevExpress.XtraGrid.Columns.GridColumn
colGRIDCOLUMN.ColumnEdit = colCombo;
LookUpColumnInfoCollection coll = colCombo.Columns;
coll.Add(new LookUpColumnInfo("DESCRIPTION", "DESCRIPTION", 0));
coll.Add(new LookUpColumnInfo("ID", "ID", 0));
colCombo.BestFit();