Try this code. It should be put into the combo box's "Not In List" event.
Private Sub Company_NotInList(NewData As String, Response As Integer)
'This event procedure is called from the
'ComboBox's NotInList event
'The procedure adds the new data to the
'underlying table upon confirmation from the user
'Does user want to add new value to list?
If MsgBox("Add " & NewData & " to list?", 33, "Company Name"

= 1 Then
'Inform Event Procedure we're handling the error
Response = DATA_ERRADDED
'Declare the database and Table
Dim NewCompany As String
Dim db As Database
Dim TB As Recordset
Set db = CurrentDb
NewCompany = NewData
'Open the required table:
Set TB = db.OpenRecordset("tblCompany", DB_OPEN_TABLE)
'Prepare Table for new record being added
TB.AddNew
'Write Data to fields
TB("Company"

= NewCompany
TB.Update
TB.Close
Else
'Cancel the event returning the user to
'the combo box
DoCmd.CancelEvent
'inform the event procedure to ignore
'errormessage
Response = DATA_ERRCONTINUE
End If
End Sub
Of course, you will need to change the Table and Field names to your table and field names.
Basically, this code runs when the data entered into the combo box does not match anything in the list. It then pops up a message asking the user if they want to add a new entry, and gives them the option to cancel if they have made a keying error or decide not to add the entry. If the user answers Yes, it opens the appropriate table in the background, adds the new entry to the field, updates the table and closes it again. The user doesn't see any of this of course, they just see the new entry appear in the list.
HTH
Lightning