SoloCodigo

Por el momento con esto se soluciono.


Private ds As New DataSet
    Private _conexion As SqlConnection
    Private _adaptador As SqlDataAdapter
    Private dt As DataTable

    Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load

        _conexion = New SqlConnection("data source=(local); user id=sa;initial catalog=Northwind ;password=;")
        _adaptador = New SqlDataAdapter("Select CustomerID,CompanyName from Customers", _conexion)
        dt = New DataTable
        _adaptador.Fill(dt)
        cboBusqueda.DataSource = dt
        cboBusqueda.DisplayMember = "CustomerID"        

    End Sub

    Private Sub cboBusqueda_SelectedIndexChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles cboBusqueda.SelectedIndexChanged

        ds.Tables.Clear()        
        _adaptador = New SqlDataAdapter("Select * from orders where CustomerID=@valor", _conexion)
        _adaptador.SelectCommand.Parameters.Add("@valor", cboBusqueda.Text)
        _adaptador.Fill(ds, "Cliente")
        dgDatos.DataSource = ds.Tables("Cliente")

    End Sub

Espero te sirva