Sorry to post on such an old (but very useful) post but there is one thing I've not been able to sort out with this control to emulate the drop down behavior.

Specifically, the inability to use key up and key down to select items in the drop down. You can check this on the test app but trying the standard drop down (once dropped, the up and down arrows will select an item), but the custom control doesn't handle this. The setting of focus to the disconnected control (as in the code) doesn't have any effect, nor does attempting an ActivateWindow on the hWnd.