ComboBox item click in DataGridView

I'm using a comboboxcell in a datagridview with the combobox autocompletemode set to SuggestAppend.

When I enter the cell and start typing, the autocomplete window pops up. When I click an item in the autocomplete list, the cell value is set and the cell exits edit mode. This has the same effect as selecting an item with up/down arrow keys from the autocomplete list and pressing the enter key.)

I want to copy that behaviour when an item is selected from the combobox dropdown list.
E.g. if the user clicks the dropdown arrow button to open the dropdown list, then clicks an item in the list, the cell value should be set to that item, the dropdown should close, and the cell should exit edit mode.

I've tried adding a handler to the combobox mouse click event, but the combobox only seems to receive that event if the main part of the combobox is clicked, but not if the mouse is clicked somewhere in the dropdown part. I don't think this matters if the combobox is used in a datagridview or by itself.

Does anyone know how to capture a mouse click in the dropdown part of the combobox? I'm hoping there's a way to do this without resorting to catching messages in the wndproc.

I forgot to mention - I'm using VS 2008. This project is targeting the .NET framework 2.0

the selected index changed event fires when you click an item in the combo box