That's because I was wrong assuming the display and value members were properties of the columns of your data grid view. They're actually properties of the comboboxcolumn itself.

Code:
 
Dim comboboxcol As DataGridViewComboBoxColumn = Me.DataGridView1.Columns("NameOfCol")
        comboboxcol.DisplayMember =
        comboboxcol.ValueMember =
You could always add the column in by code rather through the designer.