This example uses a combobox instead of a listbox. Not my code, I found this in a newgroup a while ago. Assuming you have a connection and data adapter up and running, this works real nice. Good Luck
Public MyCombo As New ComboBox
Public ds As New DataSet()
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
AddHandler MyCombo.TextChanged, AddressOf Ctrls_TextChanged
'Fill ComboBox list.
MyCombo.Name = "MyCombo"
MyCombo.Visible = False
MyCombo.Items.Clear()
MyCombo.Items.Add("Monday"

MyCombo.Items.Add("Tuesday"

MyCombo.Items.Add("Wednesday"

MyCombo.Items.Add("Thursday"

MyCombo.Items.Add("Friday"
daEmp.Fill(ds, "MyTable"
'Set the RowHeight of the DataGrid to the height of the ComboBox.
DataGrid1.PreferredRowHeight = MyCombo.Height
DataGrid1.DataSource = ds
DataGrid1.DataMember = "MyTable"
'Add ComboBox to the Control collection of the DataGrid.
DataGrid1.Controls.Add(MyCombo)
End Sub
Private Sub DataGrid1_Paint(ByVal sender As Object, ByVal e As System.Windows.Forms.PaintEventArgs) Handles DataGrid1.Paint
If DataGrid1.CurrentCell.ColumnNumber = 1 Then
MyCombo.Width = DataGrid1.GetCurrentCellBounds.Width
End If
End Sub
Private Sub Ctrls_TextChanged(ByVal sender As Object, ByVal e As System.EventArgs)
If DataGrid1.CurrentCell.ColumnNumber = 1 Then
MyCombo.Visible = False
If DataGrid1.Item(DataGrid1.CurrentCell) & "" = "" Then
SendKeys.Send("*"

End If
DataGrid1.Item(DataGrid1.CurrentCell) = MyCombo.Text
End If
End Sub
Private Sub DataGrid1_CurrentCellChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles DataGrid1.CurrentCellChanged
If DataGrid1.CurrentCell.ColumnNumber = 1 Then
MyCombo.Width = 0
MyCombo.Left = DataGrid1.GetCurrentCellBounds.Left
MyCombo.Top = DataGrid1.GetCurrentCellBounds.Top
MyCombo.Text = DataGrid1.Item(DataGrid1.CurrentCell) & ""
MyCombo.Visible = True
Else
MyCombo.Visible = False
MyCombo.Width = 0
End If
End Sub
Private Sub DataGrid1_Scroll(ByVal sender As Object, ByVal e As System.EventArgs) Handles DataGrid1.Scroll
MyCombo.Visible = False
MyCombo.Width = 0
End Sub
Private Sub DataGrid1_Click(ByVal sender As Object, ByVal e As System.EventArgs) Handles DataGrid1.Click
MyCombo.Visible = False
MyCombo.Width = 0
End Sub