When you load your grid you can assign font to individual cells using CellFontName property.
The trick here is to set column index before setting row. Here is a quick sample:
Code:
Private Sub Command1_Click()
Dim i As Integer

    With MSFlexGrid1
        .Col = 3
        For i = 1 To .Rows - 1
            .Row = i
            .CellFontName = "Wingdings 2"
            .TextMatrix(i, .Col) = Chr(80) 'or 82
        Next i
    End