Are you sure about this in a Windows form, using VS 2003 ?
Yes I am sure. I have not moved to VS2005 yet and have implemented more
than a few applications that use many different controls from buttons
to drop down lists and more in a datagrid.
And there are other options also besides using buttons. You could add a
context menu that offered 3 menu options (Add, Edit, Delete). You can
be much more creative in win forms. Perhaps you could have the whole
row automatically editable on a mouse over and then have the row
automatically save when the mouse leaves that particular row.
This is what a quick google for "C# datagrid column button" revealed:
http://www.xmlfox.com/CSsamples.htm#6
That has EXACTLY what you want to do.