Are you talking about when the user presses the down arrow on the keyboard, or clicks to open up a combo box?
The keyboard down arrow has an ASCII value that you can trap for. It's fairly easy.
I may be wrong, but I don't believe there is a way to tell when the user clicks the dropdown arrow of combo box. The way I got around this was to create a text box and shrink the combo box to the width of the arrow only. I then use smoke, mirrors, a touch of magic, and a lot of code to hide the text box and expand the combo box when it's appropriate.
Why do you need to do this? There may be an easier way.