I have added a lookup in the form grid lines (string edit control). those lookup values get from table.
if I select a record from the lookup a new line need to create and the next time if i go to create an another record the field which i have selected previously should not be appear in the lookup.
Lookups are used to select a value of a field, not to create new records. You'll have to change your design.
Regarding not showing the value in the lookup again, you have to change the query used for the lookup. Namely you want to add a not exists join for the table where the used sets are stored.