The way events are exposed is a little different than it was in Visual Basic 6. After you've added the combo box to your form, switch to the Form's code either by right clicking on the form itself or the file in Solution Explorer and selecting View Code from the popup menu.
At the top of the code window are two drop down list boxes. In the left hand box, scroll down until you see ComboBox1 (or whatever you named the combo box control you placed on the form). The right hand combo box at the top of the code window is a list of all the events supported by your combo box. Select the appropriate event and a handler will automatically be added.
This was first published in January 2004