FROM:http://support.microsoft.com/default.aspx?scid=kb;en-us;Q174667
While it is simple to directly subclass a combo box control, it is not simple to subclass the edit or list box inside a combo box. The problem is that it is difficult to get the HWNDs of the child controls in a portable manner.
One safe way to subclass the internal edit and list box controls is to subclass them in the WM_CTLCOLORXXX messages. Because Win32 sends separate WM_CTLCOLOREDIT and WM_CTLCOLORLISTBOX messages, these messages are safe and easy ways to get the HWNDs of the child controls of the combo box.
Below is a CSuperComboBox class, which is an MFC implementation of this method. Because MFC routes all the WM_CTLCOLOR messages to OnCtlColor, the subclassing takes place there.
Use ClassWizard to derive a class from CComboBox and add message