For my program I needed a splitbutton, but I had to convert it from c# to vb .net. Original source:
After adding it to your form (like any other control), add a contextmenustrip. Set the "ContextMenuStrip" property of the added SplitButton to this contextmenustrip. Finally, add some menuitems to the toolstrip or maybe change its layout a bit.
To open the context menu, click on the arrow. To click the button, click outside this arrow (on the text). When pressing space it will click the button, any other key will activate the dropdown menu.