In a DataGridView if we have to create a DateTimePickerCell, then we have to host that control in GridView as there are no inbuilt cells like ComboBoxCell or LinkCell in this control

Public Class CalendarColumn
Inherits DataGridViewColumn

Public Sub New()
MyBase.New(New CalendarCell())
End Sub

Public Overrides Property CellTemplate() As DataGridViewCell
Get
Return MyBase.CellTemplate
End Get
Set(ByVal value As DataGridViewCell)

' Ensure that the cell used for the template is a CalendarCell.
If (value IsNot Nothing) AndAlso _
Not value.GetType().IsAssignableFrom(GetType(CalendarCell)) _
Then
Throw New InvalidCastException("Must be a CalendarCell")
End If
MyBase.CellTemplate = value

End Set
End Property

End Class

Public Class CalendarCell
Inherits DataGridViewTextBoxCell

Public Sub New()
' Use the short date format.
Me.Style.Format = "M/d/yyyy"


End Sub

Public Overrides Sub InitializeEditingControl(ByVal rowIndex As Integer, _
ByVal initialFormattedValue As Object, _
ByVal dataGridViewCellStyle As DataGridViewCellStyle)

Try

' Set the value of the editing control to the current cell value.
MyBase.InitializeEditingControl(rowIndex, initialFormattedValue, _
dataGridViewCellStyle)

Dim ctl As CalendarEditingControl = _
CType(DataGridView.EditingControl, CalendarEditingControl)
ctl.Value = CDate(Me.Value).Date

Catch ex As Exception

End Try
End Sub

Public Overrides ReadOnly Property EditType() As Type
Get
' Return the type of the editing contol that CalendarCell uses.
Return GetType(CalendarEditingControl)
End Get
End Property

Public Overrides ReadOnly Property ValueType() As Type
Get
' Return the type of the value that CalendarCell contains.
Return GetType(DateTime)
End Get
End Property

Public Overrides ReadOnly Property DefaultNewRowValue() As Object
Get
' Use the current date and time as the default value.
Return DateTime.Now.Date
End Get
End Property

End Class

Class CalendarEditingControl
Inherits DateTimePicker
Implements IDataGridViewEditingControl

Private dataGridViewControl As DataGridView
Private valueIsChanged As Boolean = False
Private rowIndexNum As Integer

Public Sub New()
Me.CustomFormat = "M/d/yyyy"

Me.Format = DateTimePickerFormat.Custom

End Sub

Public Property EditingControlFormattedValue() As Object _
Implements IDataGridViewEditingControl.EditingControlFormattedValue

Get
Return Me.Value.ToShortDateString
End Get

Set(ByVal value As Object)
If TypeOf value Is String Then
Me.Value = DateTime.Parse(CStr(value))
End If
End Set

End Property

Public Function GetEditingControlFormattedValue(ByVal context _
As DataGridViewDataErrorContexts) As Object _
Implements IDataGridViewEditingControl.GetEditingControlFormattedValue

Return Me.Value.ToString

End Function

Public Sub ApplyCellStyleToEditingControl(ByVal dataGridViewCellStyle As _
DataGridViewCellStyle) _
Implements IDataGridViewEditingControl.ApplyCellStyleToEditingControl

Me.Font = dataGridViewCellStyle.Font
Me.CalendarForeColor = dataGridViewCellStyle.ForeColor
Me.CalendarMonthBackground = dataGridViewCellStyle.BackColor

End Sub

Public Property EditingControlRowIndex() As Integer _
Implements IDataGridViewEditingControl.EditingControlRowIndex

Get
Return rowIndexNum
End Get
Set(ByVal value As Integer)
rowIndexNum = value
End Set

End Property

Public Function EditingControlWantsInputKey(ByVal key As Keys, _
ByVal dataGridViewWantsInputKey As Boolean) As Boolean _
Implements IDataGridViewEditingControl.EditingControlWantsInputKey

' Let the DateTimePicker handle the keys listed.
Select Case key And Keys.KeyCode
Case Keys.Left, Keys.Up, Keys.Down, Keys.Right, _
Keys.Home, Keys.End, Keys.PageDown, Keys.PageUp

Return True

Case Else
Return Not dataGridViewWantsInputKey
End Select

End Function

Public Sub PrepareEditingControlForEdit(ByVal selectAll As Boolean) _
Implements IDataGridViewEditingControl.PrepareEditingControlForEdit

' No preparation needs to be done.

End Sub

Public ReadOnly Property RepositionEditingControlOnValueChange() _
As Boolean Implements _
IDataGridViewEditingControl.RepositionEditingControlOnValueChange

Get
Return False
End Get

End Property

Public Property EditingControlDataGridView() As DataGridView _
Implements IDataGridViewEditingControl.EditingControlDataGridView

Get
Return dataGridViewControl
End Get
Set(ByVal value As DataGridView)
dataGridViewControl = value
End Set

End Property

Public Property EditingControlValueChanged() As Boolean _
Implements IDataGridViewEditingControl.EditingControlValueChanged

Get
Return valueIsChanged
End Get
Set(ByVal value As Boolean)
valueIsChanged = value
End Set

End Property

Public ReadOnly Property EditingControlCursor() As Cursor _
Implements IDataGridViewEditingControl.EditingPanelCursor

Get
Return MyBase.Cursor
End Get

End Property

Protected Overrides Sub OnValueChanged(ByVal eventargs As EventArgs)

' Notify the DataGridView that the contents of the cell have changed.
valueIsChanged = True
Me.EditingControlDataGridView.NotifyCurrentCellDirty(True)
MyBase.OnValueChanged(eventargs)

End Sub

End Class