Data Grid's ButtonClick Event..How Can I drop down a list?

I've got a DBGrid that I have set a certain Column's Button Property to True. At runtime, when the button is clicked, I would like a drop-down list to be displayed, or something similar to give the user two choices.

For example, I have a column labeled "Processed". When I click on the cell, the cell's button appears and if the user clicks on that button, a list should drop down with two choices, "True" and "False".

I cannot find any information on this, but saw in the MSDN the following:

"Typically, you enable the column button when you want to drop down a Visual Basic control (such as the built-in combo box, a bound list box, or even another DataGrid control) for editing or data entry. When the button in the current cell is clicked, the ButtonClick event will be fired. You can then write code to drop down the desired control from the cell."

How can I create a "built-in" combo box?

Thank You!!