I was able to resolve on my own. Here is the final code in case anyone else has this same issue. Now I need to find an easy way to write back to the database when the combobox is changed.

Code:
            Dim Sql As New SQLControl
            'Querey to populate the collection of the combobox
            Sql.ExecQuery("SELECT rtrim(salesperson_name) xName, user_id FROM Users Order by salesperson_name ")

            'Create and add datasource from above query
            Dim cmb As New DataGridViewComboBoxColumn()
            cmb.HeaderText = "Assign User"
            cmb.Name = "cmb"
            cmb.DataSource = Sql.DBDT
            cmb.ValueMember = "user_id"
            cmb.DisplayMember = "xName"
            cmb.DataPropertyName = "xSales"

            DgvLeads.Columns.Insert(0, cmb)

            Dim rsLeads As New SQLControl

            'The column user_id in the query to populate the datagridview needs to be the same as the datatype as the ValueMember in the combobox.
            rsLeads.ExecQuery("SELECT l.user_id xSales, rtrim(Lead_ID) 'Lead_ID', rtrim(infogroup_id) InfoGroup_Id, rtrim(Lead_status) 'Lead Status', rtrim(Company_Name) 'Company Name', rtrim(mailing_address) Address,
                            rtrim(Mailing_City) + ', ' + rtrim(Mailing_State) State, l.date_created 'Date Created' FROM Leads l , users u WHERE u.User_Id = l.User_ID" + sqlFilter)

            If rsLeads.HasException Then
                MsgBox(rsLeads.Exception, MsgBoxStyle.OkOnly, "Error Loading Leads")
            End If

            If rsLeads.RecordCount = 0 Then
                MsgBox("No leads found.", MsgBoxStyle.OkOnly, "No Records")
                Exit Sub
            End If

            DgvLeads.DataSource = rsLeads.DBDT