Hi egirardi,
In the last released version, 6.4.0 Release c, and earlier, I can't think of any good way to accomplish this.
In the upcoming 6.4.0 Release d, we introduced a DataGridViewCellPanel for the DataGridView. Basically, every DataGridViewCell has an initially hidden panel attached to it, which you can activate at any time and make it span one or more columns and/or rows. When activated, you can place any control on it and it behaves just like a panel.
You can find a link to a forum thread with a code fragment I wrote a while back for how to use it, on our DataGridView article under forum discussions.
Like I said, this will be available in 6.4.0 Release d and later, which means it's not release yet. If you are interested, you can email support requesting to join the Beta testers team, which will give you access to the most recent QA medias so you can try this out.
Hope this helps,
Palli