I am getting this message:
value of type "System.data.datacolumn" cannot be converted to "System.windows.forms.datagridviewcolumn"
when I am trying to add a column to the dgv

Dim dtcCheck As New DataColumn("Select")
        dtcCheck.DataType = System.Type.GetType("System.Boolean")
        dtcCheck.DefaultValue = False
        Dim sa As New SqlDataAdapter("SELECT * FROM therapy", myconnection1)
        sa.Fill(ds, "Therapy")
        dgvther.DataSource = ds.Tables("Therapy")
        dgvther.Columns.Add(dtcCheck) '<<Error is the dtcCheck

Any help on this will be greatly appreciated.

Try this code mentioned below to add column to datagrid view
Public strTest As String
Private Sub CONTCOLUMN()

Dim contcolumn As New DataGridViewTextBoxColumn

With contcolumn
.HeaderText = strTest
.Name = strTest

End With

DataGridView1.Columns.Insert(1, contcolumn)
End Sub
Public Sub ComboBox1_SelectedIndexChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles CB.SelectedIndexChanged

strTest = CB.SelectedItem
If strTest = "City" Then
CONTCOLUMN()
Else
MsgBox("YOU ARE IN THIS PHASE")
End If
End Sub

I have the same problem but with DataGridViewTextBoxColumn. I've tried the solution above yet didn't work. What am I supposed to do? :(

try editing this part,

Dim contcolumn As New DataGridViewTextBoxColumn

to

Dim contcolumn As New DataGridViewButtonColumn

hope this helps.

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