ComboBox1.AutoCompleteSource = AutoCompleteSource.ListItems
You can do this through the Properties window for the Combobox too. I used code to make the point more clear. Here's the complete source code that you could plug into the Load event subroutine for a Form.
Code:
Dim Mary As New List(Of String)
Dim Words() As String = New String() _
{"Mary", "Had", "A", "Little", _
"Lamb.", "It's", "Fleece", _
"Was", "White", "As", "Snow."}
Mary.AddRange(Words)
Mary.Sort()
ComboBox1.Items.AddRange(Mary.ToArray)
ComboBox1.DropDownStyle = ComboBoxStyle.DropDownList
ComboBox1.AutoCompleteSource = AutoCompleteSource.ListItems
ComboBox1.SelectedIndex = 0