Sorry, didn't realize that you wanted to save the City and State. Therefore, the method I suggested wouldn't work. However, the following will.
The ControlSource Property of the city text box should be set to the corresponding field in your table. Likewise for the state.
In the AfterUpdate event of the combobox, set the City and State fields accordingly.
In the example below, cboLocation is the name of your combobox, txtCity is the name of the text box that is bound to the City and txtState is the name of the text box that is bound to the state field.
Private Sub cboLocation_AfterUpdate()
If (Not IsNull(cboLocation)) then
txtCity = cboLocation.Column(1)
txtState = cboLocation.Column(2)
else
txtCity = null
txtState = null
End If
End Sub
By the way, as someone suggested, if you are saving the location in your table, you don't need to also save the city and state. Since the location implies a given city and state.