// 构建表格实际数据源

            DataTable dt = new DataTable();
            dt.Columns.Add("c_ID");
            dt.Columns.Add("d_ID");

            for (int i = 0; i < 10; i += 2)
                dt.Rows.Add(new object[] { i, i % 4 });

            dataGridView1.DataSource = dt;
            //先构建第一个联动数据列
            DataTable dt1 = new DataTable();
            dt1.Columns.Add("c_ID");
            dt1.Columns.Add("c_name");

            for (int i = 0; i < 10; i++)
                dt1.Rows.Add(new object[] { i, "公司" + i.ToString() });
            //建立下拉列
           DataGridViewComboBoxColumn cc = new DataGridViewComboBoxColumn();
           cc.DataSource = dt1;
           cc.HeaderText = "公司名称";
           cc.DisplayMember = "c_name";
           cc.ValueMember = "c_ID";
           cc.DataPropertyName = "c_ID";
           dataGridView1.Columns.Add ( cc);


           //构建第二个级联动数据列
           DataTable dt2 = new DataTable();
           dt2.Columns.Add("d_ID");
           dt2.Columns.Add("d_name");

           for (int i = 0; i < 4; i++)
               dt2.Rows.Add(new object[] { i, "部门" + i.ToString() });
           //建立下拉列
           DataGridViewComboBoxColumn c2 = new DataGridViewComboBoxColumn();
           c2.DataSource = dt2;
           c2.HeaderText = "部门";
           c2.DisplayMember = "d_name";
           c2.ValueMember = "d_ID";
           c2.DataPropertyName = "d_ID";
           dataGridView1.Columns.Add( c2);

            //最后隐藏ID列
           dataGridView1.Columns[0].Visible = false;
           dataGridView1.Columns[1].Visible = false;

------解决方案--------------------

给公司这一列的ComboBox添加事件，我一般是这么做的~
C# code
dataGridView.EditingControlShowing += new DataGridViewEditingControlShowingEventHandler(dataGridView_EditingControlShowing);
        private void dataGridView_EditingControlShowing(object sender, DataGridViewEditingControlShowingEventArgs e)
        {
            if (dataGridView.CurrentCell.OwningColumn.Name.Equals("公司") && e.Control is ComboBox)
            {
                (e.Control as ComboBox).SelectedValueChanged -= new EventHandler(ComboBox_SelectedValueChanged);
                (e.Control as ComboBox).SelectedValueChanged += new EventHandler(ComboBox_SelectedValueChanged);
            }
        }

        void ComboBox_SelectedValueChanged(object sender, EventArgs e)
        {
            if ((sender as ComboBox).SelectedItem != null)
            {
                dataGridView.CurrentRow.Cells["部门"].Value = ((sender as ComboBox).SelectedItem as DataRowView)["部门"];
            }
        }