There is several ways:
1. In InteractiveChange event of the combo You can set FILTER to the table:

cFilt = "MyTable.Field = "+ALLTRIM(STR(this.Value)) && if the value of the combo is numeric
cFilt = "MyTable.Field = '"+ALLTRIM(this.Value)+"'" && if the value of the combo is string
SELECT (thisform.Grid1.RecordSource)
SET FILTER TO &cFilt
GO TOP
thisform.Grid1.Refresh()

but depending of number of records of that table this may be a very slow method

2. Create a parametrised local view, & refresh it in Interactivechage of the combo
3. Set the RecordSourceType of the grid to 4 (SQL Statement), and in trhe interactiveChange dinamicly change the SQL statement. Something like that:

in InteractiveChange method of the combo:

thisform.Grid1.RecordSource = "SELECT * FROM YourTable WHERE KeyField = "+this.Value
thisform.Grid1.Refresh()