Hi, use the following code,
GridViewColumn objColumn = new GridViewColumn();
objColumn.Header = "Employees";
DataTemplate GVCellTemplate = new DataTemplate();
FrameworkElementFactory objComboBox = new FrameworkElementFactory(typeof(ComboBox));
objComboBox.SetBinding(ComboBox.ItemsSourceProperty, new Binding("Employees"));
objComboBox.SetValue(ComboBox.SelectedItemProperty, "SelectedEmployee");
GVCellTemplate.VisualTree = objComboBox;
objColumn.CellTemplate = GVCellTemplate;
YourGridView.Columns.Add(objColumn);