DataGrids are always fun to program with. Even a simple ComboBox can end up with heaps of code behind to it make it work as you wish. As you say you can't change the DropDown Style, this is a pity if the one you currently are using isn't sufficient (ListBox), as you must use Combo-style.
You can force appearance to change on the fly by using WinAPI Calls such as SendMessage(cboXXX.hwnd, CB_XXX, True, ByVal 0) and SetWindowsLong.
Also you can force DropDowns to occur by such prosaic means as using SendKeys("{DOWN}") in situations, though not relevant in this case.
What you can do is keep track of your keystrokes with the KeyPress Event (check the key with (Chr$(KeyAscii)), KeyDown etc, and keep a track of the .text, .sellength, and in code add what the user has typed to the Combo Box in code when they eventually hit Enter or Tab.
Neonk.