>Also is there any way to put a combohox in the header of a grid column?

As Çetin said, Header is not a container type, you can't put combo in it.

If what you are looking for is a way for the user to filter records shown by limiting to one item on a certain column you could put a combobox below or above the grid, aligned with the column so it visually shows the user where the combo belongs and what data it would affect.

Another way is to use a Click() on the header (generally used for sorting by that column), to open a filter by dialog showing unique values from that column.

HTH