How do I get type-to functionality in CGXComboBoxWnd?

Create the combo box with CBS_SORT style as follows:

   CGXComboBoxWnd* pWnd = new CGXComboBoxWnd(pGrid);
   pWnd->Create(WS_VSCROLL | CBS_DROPDOWNLIST | CBS_SORT, GX_IDS_CTRL_CBS_DROPDOWNLIST);
   pWnd->m_bFillWithChoiceList = TRUE;
   pWnd->m_bWantArrowKeys = FALSE;
   RegisterControl(GX_IDS_CTRL_CBS_DROPDOWNLIST, pWnd);

And use this control for the corresponding cells. With CBS_SORT style the list box will be sorted as well providing the functionality described above (similarly for dropdown type CGXComboBoxWnd).