Wire up an event handler for the drop down list:
AddHandler Me.ctlDropDown.SelectedIndexChanged, AddressOf ddlSelectedIndexChanged
Me.GroupBox1.Controls.Add(Me.ctlDropDown)
Make sure you create ddlSelectedIndexChanged in your control and have it fire the SetFlag Event:
Protected Sub ddlSelectedIndexChanged(ByVal sender As Object, ByVal e As EventArgs)
RaiseEvent SetFlag(True)
End Sub