Try this code
string strcon = @"Data Source=kp;Initial Catalog=Name;Integrated Security=True;Pooling=False";
SqlConnection con;
SqlCommand cmd;
SqlDataAdapter da;
DataTable dt;
DataGridViewComboBoxColumn dgvCmb;
public Form2()
{
InitializeComponent();
grdcmd();
}
public void grdcmd()
{
con = new SqlConnection(strcon);
con.Open();
string qry = "Select * from Dbname";
da = new SqlDataAdapter(qry, strcon);
dt = new DataTable();
da.Fill(dt);
dgvCmb = new DataGridViewComboBoxColumn();
foreach (DataRow row in dt.Rows)
{
dgvCmb.Items.Add(row["Fname"].ToString());
}
dataGridView1.Columns.Add(dgvCmb);
}