In VB they are called Popup Menus, What you do is use the menu editor to create a menu, but untick the visible box. The add code similar to that below, however I am not sure if they can be used on combo boxes. You will have to test it. You can also search VB help for Popup Boxes.
Private Sub Form_MouseDown (Button As Integer, Shift As Integer, X As Single, Y As Single)
If Button = 2 Then
PopupMenu mnuFile
End If
End Sub
Hope it helps