This is what I made.

ProjectDlg.h file

Code:
class CProjectDlg : public CDialog
{


	private:
  CComboBox *Combo;
// Construction
public:
	CSixDlg(CWnd* pParent = NULL);	// standard constructor
...
...
...


ProjectDlg.cpp

Code:
BOOL CProjectDlg::OnInitDialog()
{
    CDialog::OnInitDialog();

    SetIcon(m_hIcon, TRUE);
    SetIcon(m_hIcon, FALSE);

    // TODO: Add extra initialization here

 Combo = new CComboBox;
  Combo->Create(WS_CHILD | WS_VISIBLE |
  WS_VSCROLL | CBS_DROPDOWNLIST,
  CRect(10, 50, 100, 150), this, 0x1448);

  Combo->AddString("First");
  Combo->AddString("Second");
  Combo->AddString("Third");


return TRUE; // return TRUE unless you set the focus to a control
}

Can you help me further? Or give me a link with this information