Here is some code that works:

*add the control and make it the current control
*the first argument is the name of the new control, the second is the name of the class you want to use
thisform.apgrid1.column1.addobject('cboTest', 'combobox')
thisform.apgrid1.column1.CURRENTCONTROL = 'cboTest'

*put some data into the combobox
THISFORM.APGRID1.COLUMN1.CBOTEST.ADDITEM("ONE")
THISFORM.APGRID1.COLUMN1.CBOTEST.ADDITEM("TWO")

*make the combobox visible
THISFORM.APGRID1.COLUMN1.CBOTEST.VISIBLE = .t.

*refresh the grid
thisform.apgrid1.refresh()

Hope it helps.