There are two ways you can do this.
The first is to open a datatable and bind it to your combo box.
This works fine if you are not modifying the data and you don't need to add anything other than the data you return from the server.
The other is to use a datareader and loop through the records using the datareader.read method and add your values from the reader into the combobox manually.
If you have added data to a combo box in VB6 or previous, it works the same way in .NET.
If you populate your combobox an item at a time (like with a datareader or such) then remember to do a combobox1.BeginUpdate() before and a combobox1.EndUpdate() after. Otherwise the control redraws itself after you add each item - and will look funky.