Host control in custom datagridview textbox

I am using Visual basic .NET 2005

I am trying to host a button in my datagridview cell that is always there except in edit this is to launch another form for a long heavy lookup that will not fit in a combobox.

I've read the DataGridView FAQ:
http://social.msdn.microsoft.com/Forums/en-US/winformsdatacontrols/thread/a44622c0-74e1-463b-97b9-27b87513747e#faq16

I'm trying to figure out which event to put the DataGridView.Controls.Add()

I have a custom class CustomDGVTextBoxColumn that has it's celltemplate set to CustomFGVTextBoxCell

I've tried putting it in the Public Sub New() but it gives me an Object Referenced is not set to an object error(probably the datagridview that hasn't been initialized)