I have gone through a couple of examples to achieve this. I am unable to bind my combobox to a datasource. The combobox on dropdown doesn't display a list of values.
I have a RadGrid as follows:

_RadGrid1.MasterTableView.DataKeyNames = new string[] { this._PopRuleList.PopCapabilityRuleIdColumn.ColumnName };
            _RadGrid1.Width = Unit.Percentage(98);
            _RadGrid1.PageSize = 15;
            _RadGrid1.AllowPaging = true;
            _RadGrid1.PagerStyle.Mode = GridPagerMode.NextPrevAndNumeric;
            _RadGrid1.AllowSorting = true;
            _RadGrid1.AllowFilteringByColumn = _ShowFilter;
            _RadGrid1.ShowStatusBar = _ShowFilter;
            _RadGrid1.AutoGenerateColumns = false;
            _RadGrid1.MasterTableView.NoMasterRecordsText = "There are no exceptions.";
            _RadGrid1.Skin = "WebBlue";
            _RadGrid1.MasterTableView.Width = Unit.Percentage(100);
            _RadGrid1.ItemCommand += RadGrid1_ItemCommand;
            _RadGrid1.ShowHeader = true;

	
	   string ColumnName = "Bandwidth";
            boundColumn = new GridBoundColumn();
            boundColumn.FilterTemplate = new MyTemplate(ColumnName, _RadGrid1);
            _RadGrid1.MasterTableView.Columns.Add(boundColumn);
            boundColumn.DataField = this._PopRuleList.BandwidthsColumn.ColumnName;
            boundColumn.AllowFiltering = true;
            boundColumn.HeaderText = "Bandwidth";
            boundColumn.UniqueName = "Bandwidth";
            boundColumn.HeaderStyle.Width = Unit.Pixel(25);

class MyTemplate : ITemplate
{
    protected RadComboBox combo;
    private string colname;
    RadGrid radgrid;
    GlobalCrossing.IFO.ServerControls.Pops.CapabilitiesExceptionListCtrl ce = new GlobalCrossing.IFO.ServerControls.Pops.CapabilitiesExceptionListCtrl();
 
    public MyTemplate(string cName, RadGrid grid)
    {
        colname = cName;
        radgrid = grid;
    }
    public void InstantiateIn(System.Web.UI.Control container)
    {
        combo = new RadComboBox();
        combo.ID = "RadComboBoxControl";
        combo.DataBinding += new EventHandler(RadComboBoxControl_DataBinding);
        container.Controls.Add(combo);
        combo.AutoPostBack = true;
        combo.SelectedIndexChanged += new RadComboBoxSelectedIndexChangedEventHandler(RadComboBoxControl_SelectedIndexChanged);
    }
 
    public void RadComboBoxControl_DataBinding(object sender, EventArgs e)
    {
        RadComboBox combo = (RadComboBox)sender;
        GridFilteringItem container = (GridFilteringItem)combo.NamingContainer;
 
        combo.DataTextField = ce._PopRuleList.BandwidthsColumn.ColumnName;
        combo.DataValueField = ce._PopRuleList.BandwidthsColumn.ColumnName;
        combo.DefaultItem.Text = "All";
        combo.EnableAutomaticLoadOnDemand = true;
        combo.AllowCustomText = true;
        combo.DataSource = ce._PopRuleList;
    }
 
    void RadComboBoxControl_SelectedIndexChanged(object sender, RadComboBoxSelectedIndexChangedEventArgs e)
    {
        RadComboBox combo = sender as RadComboBox;
        string filterExpression;
        filterExpression = "([Bandwidth] LIKE '" + e.Value + "')";
        radgrid.MasterTableView.FilterExpression = filterExpression;
        radgrid.MasterTableView.Rebind();
    }
}