The method described in the link works only if you have added "custom columns" to your grid, which can be added at design time or at run time, at design time select the grid and in object inspector look for property "columns", press the [...] button and add some columns, for each column you can select a different "buttonstyle", select cbsPicklist in this case then fill the column's picklist property with the needed values. The described link shows how to fill the picklist at run time.
If you don't want to use "custom columns" you can use a pick list this way: in event OnSelectEditor write something like this:
uses ..., StdCtrls, .... // don't forget to add StdCtrls unit, needed by TCustomComboBox.
...
procedure TForm1.StringGrid1SelectEditor(Sender: TObject; aCol, aRow: Integer;
var Editor: TWinControl);
begin
if aCol=2 then begin
Editor := StringGrid1.EditorByStyle(cbsPickList);
TCustomComboBox(Editor).Items.CommaText := 'A,B,C,D';
end;
end;
This will use the picklist editor on column index 2 and user can select A, B, C or D. The other cells will continue to use default string editor.