Linking a TDBComboDlg to TDBgrid

One of the columns in the grid is a UNC path.
I (have seen other apps do this and) would like to be able to include an
ellipsis on the UNC path column in the table to allow the user to select any
path in the system.
I need to know *how* to link the combo to the grid and then find a dialog
that lets me select a UNC path.

Does anyone have a sample or can you walk me thru step by step?