You can set options on the client side or define them as part of xml data. Check the next article in the dhtmlx's documentation
http://docs.dhtmlx.com/doku.php?id=dhtmlxgrid:initialization_from_xml
For init on client side it look like next
grid.getCombo(0).put("1", "First Option")
grid.getCombo(0).put("1", "Second Option")