Here's a simple way:
Private Sub ComboBox1_TextChanged(sender As Object, e As System.EventArgs) Handles ComboBox1.TextChanged
Dim Result As Boolean = False
For Each itm As String In ComboBox1.Items
If InStr(itm, ComboBox1.Text, CompareMethod.Text) <> 0 Then
Result = True
End If
Next
If Not Result Then
MsgBox("No Match")
End If
End Sub
This will compare the text entered after each character is typed, and display the messagebox if the text can't be found in any of the combobox items, ignoring case