from:

http://documentation.devexpress.com/#WindowsForms/DevExpressXtraGridViewsBaseColumnView_ShownEditortopic

using DevExpress.XtraEditors;

using DevExpress.XtraGrid.Views.Grid;

private DataView clone = null;

private void gridView1_ShownEditor(object sender, System.EventArgs e) {

    GridView view = sender as GridView;

    if (view.FocusedColumn.FieldName == "CityCode" && view.ActiveEditor is LookUpEdit) {

        Text = view.ActiveEditor.Parent.Name;

        DevExpress.XtraEditors.LookUpEdit edit;

        edit = (LookUpEdit)view.ActiveEditor;

        DataTable table = edit.Properties.LookUpData.DataSource as DataTable;

        clone = new DataView(table);

        DataRow row = view.GetDataRow(view.FocusedRowHandle);

        clone.RowFilter = "[CountryCode] = " + row["CountryCode"].ToString();

        edit.Properties.LookUpData.DataSource = clone;

    }

}

private void gridView1_HiddenEditor(object sender, System.EventArgs e) {

    if (clone != null) {

        clone.Dispose();

        clone = null;

    }

}