Hi Shashikant, Thanks for your reply. I used that link and another page I found, to simplify it a little and then got it to work. I will add the code here for others.
<InsertItemTemplate>
<asp:DropDownList id="TimesList" datasourceid="ddlTimes" datatextfield="Times" DataValueField="Times" SelectedValue='<%# Bind("CourseTime")%>' runat="server"/>
</InsertItemTemplate>
<asp:SqlDataSource ID="ddlTimes" ConnectionString="<%$Connectionstrings:cjhent_simply_CS %>" ProviderName="<%$ ConnectionStrings:cjhent_simply_CS.ProviderName %>" SelectCommand="SELECT ID, Times FROM CourseTimes" runat="server">
</asp:SqlDataSource>