hsr///////////////////////////////////////////////////////////
예로 2가지입니다(파일참조)
1.위에것처럼 StringGrid의 Objects로 생성하는예입니다
procedure TForm1.StringGridSelectCell(Sender: TObject; ACol,
  ARow: Integer; var CanSelect: Boolean);
var
  i : integer;
begin
  for i := 1 to StringGrid.RowCount-1 do
     if (StringGrid.Objects[3,i] is TComboBox) then
        TComboBox(StringGrid.Objects[3,i]).Visible := False;

  if (ACol = 3) then begin
    if (StringGrid.Objects[ACol, ARow] is TComboBox = False) then begin
       StringGrid.Objects[ACol, ARow] := TComboBox.Create(StringGrid);
       with TComboBox(StringGrid.Objects[ACol, ARow]) do begin
         onDropDown := ComboBoxDropDown;
         onSelect   := ComboBoxSelect;
         Style := csDropDownList;

         Parent := StringGrid;
         BoundsRect := StringGrid.CellRect(ACol, ARow);
         Height := StringGrid.DefaultRowHeight-1;
         items.add('aaaaaaaaaaaaaaa');
         ClientHeight:=100;
         onDropDown(Sender);
       end;
    end
    else TComboBox(StringGrid.Objects[ACol, ARow]).Visible := True;
  end;
end;

2.콤보하나로 공통으로 사용
콤보하아를 스트링 그리드 위에 올려 놓은 다음 Visible을  false로 해놓습니다
procedure TForm1.StringGrid1DrawCell(Sender: TObject; ACol, ARow: Integer;
  Rect: TRect; State: TGridDrawState);
begin
   if(gdfocused in state) then begin
      with ComboBox1 do begin
           if (StringGrid1.Col = 3) then begin //스트링그리드 1컬럼만 적용
               Top := Rect.Top + StringGrid1.Top+3;
               Left := Rect.Left + StringGrid1.Left+3;
               Width := Rect.Right - Rect.Left-2;
               //..........여기는 조건에 맡게 아이템 넣기

               //원상태에 맞게 작업콤보박스셋팅
              ItemIndex := Items.IndexOf(StringGrid1.Cells[StringGrid1.Col,
                                                                    StringGrid1.Row]);
              visible := true;
           end
           else
              Visible := false;
       end;
   end;
end;

procedure TForm1.ComboBox1Change(Sender: TObject);
var
    Set_state, Temp_STR : string;
begin
    Set_state := ComboBox1.Items[ComboBox1.ItemIndex];
    StringGrid1.Cells[StringGrid1.Col,StringGrid1.Row] := Set_state;
    ComboBox1.Visible := false;
end;