The Cell Editors topic in the documentation should help you get started.

The drop-down you are referring to is the auto-filter control, and although it is not a cell editor, you could look at the Custom Auto-filtering Controls topic to get an idea of how it is constructed.

Something you should keep in mind is that only one element in the cell editor can be bound using a CellEditorBinding. This means that if you have more than one control in your editor, you will need to identify 1 to which the binding will be applied, or create a property in the cell editor that corresponds to the value and to which the CellEditorBinding will be applied.

There are many clients who have posted cell editor-related code on these forums, you may find some of them helpful as well.