I dont think there is an easy way to do this (although I have not worked extensively with the DataGridView in 2k5) - one way I can think of you could do this would be to hook yourself up to the DataGridView.EditingControlShowing event, the EventArgs e.Control member can then be cast to a ComboBox control to allow you to hook up the SelectedIndexChanged event to your handler. You can then update your other column when you want to when this event fires.
Remember to unregister your event handler as well - either next time EditingControlShowing fires or when CellEndEdit fires.
You might also want to experiment with only hooking yourself up once and not unhooking until you destory the form as I have a suspicion that that same combobox control might be used for editing of all cells (or that is at least the way other grids work such as DevExpress, Synfusion, Infragistics etc).
Hope this helps,