If you need to do this only for a particular cell, rather than for a whole column, then you'll need to use a templated column.  I don't have a simple explanation of how to do this at this point.

If you instead need this dropdown available for all cells in a column, then you can use WebDateChooser as an embedded editor for the column.  Refer to the following article from our help documentation of NetAdvantage for Web Client ASP.NET 2008 Volume 2 for more details:
Adding a Custom Editor Control to WebGrid