The kludgey way

Code:
    Private Sub Form1_Shown(sender As Object, e As EventArgs) Handles Me.Shown
        Dim lns() As String = My.Resources.StatesAndCapitals.Split({ControlChars.Cr})
        Dim STabbrev As New SortedDictionary(Of String, String)

        For Each rw As String In lns
            Dim parts() As String = rw.Split(","c) 'state abbrev. capital
            STabbrev.Add(parts(0), parts(1))
        Next

        With ComboBox1
            .DataSource = New BindingSource(STabbrev, Nothing)
            .DisplayMember = "Key"
            .ValueMember = "Value"
        End With
    End Sub

    Private Sub ComboBox1_SelectedIndexChanged(sender As Object, e As EventArgs) Handles ComboBox1.SelectedIndexChanged
        Debug.Write(ComboBox1.Text) 'DisplayMember
        Debug.Write(ControlChars.Tab)
        Debug.WriteLine(ComboBox1.SelectedValue) 'ValueMember
    End Sub
ATTACHED file used.StatesAndCapitals.txt