DBLookupComboBox won't work in a DBCtrlGrid

Can anyone tell me why I can't use a DBLookupComboBox or a DBLookupListBox
within a DBCtrlGrid component ? As soon as I give the ComboBox's ListSource
property a value, Delphi 4 responds with "Operation not allowed in a
DBCtrlGrid"...

Is there any other way of doing a lookup in a second Table in order to set
values in the first ?

Thanks,