Works fine for me...Try this example: Add the following code to a Form with a ComboBox (Combo1), PictureBox (Picture1), and a CommandButton (Command1).

Make sure Combo1 is drawn inside the PictureBox (so it's parent is Picture1).

Code:
Private Declare Function SetParent Lib "user32" (ByVal hWndChild As Long, ByVal hWndNewParent As Long) As Long

Private Sub Command1_Click()
    SetParent Combo1.hWnd, Form1.hWnd
End Sub