Puoi farlo nell'ItemDataBound così:
codice:
Private Sub DataGrid_ItemDataBound(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DataGridItemEventArgs) Handles Datagrid.ItemDataBound
' Se in edit
If e.Item.ItemType = ListItemType.EditItem Then
Dim DRV As DataRowView = CType(e.Item.DataItem, DataRowView)
Dim Current As String = DRV("campocorrentedelDB")
-- poi riempi la DropDownList (DDL) --
Dim item As New ListItem
' Mi posiziono sull'item del record corrente
item = DDL.Items.FindByText(Current)
If Not item Is Nothing Then item.Selected = True
End If
End Sub