I have been looking and following through http://www.functionx.com/win32/controls/combobox.htm this tutorial. However I cannot work out how to do the stuff in steps 1 and 2 in the "Creating a Combobox" section.
I really hope you're using wxDev-C++ or Orwell Dev-C++. Anyway this would be File -> New -> Project, then select "Windows Application". Then save your project to it's own folder with whatever name and this should bring you to about step 10. Then to add another file go to File -> New -> Source File, save it as whatever.h. Step 15 is File -> New -> Resource File... I think you get the picture.