I found a solution.

Code:
  Private Sub DataGridView1_EditingControlShowing(ByVal sender As System.Object, _
                        ByVal e As DataGridViewEditingControlShowingEventArgs) _
                        Handles DataGridView1.EditingControlShowing
    If TypeOf e.Control Is TextBox Then
      With DirectCast(e.Control, TextBox)
        .ContextMenuStrip = ContextMenuStrip2
      End With
    End If
  End Sub
I found that at :
http://social.msdn.microsoft.com/for...-c2206739c8fe/
and
http://stackoverflow.com/questions/2...-in-a-datagrid

In the second link, the guy asked how to merge the two ContextMenuStrip (our specific and the standard).
It is a good question. If any people have an answer, it will be good.