This is a cheesier way to do it but it works.
Is the combo box bases off its own query. If so you can make a new form based off of a query or table that has the entries for the combo box.
go to the combo box on the previous form and do this
Right click on the combo that you want to add a entry into.
Click on the events tab
On dbl Click event click the ... button
add
Code:
Dim stDocName As String
Dim stLinkCriteria As String
stDocName = "<The name of your new form>"
DoCmd.OpenForm stDocName, , , stLinkCriteria
Now when you double click the combo box it will pop up your new form for you to add a new value.
On the close event of your new form put something like
[forms]![<NameOfYourMainForm]![<NameOfYourComboBox].requery
This will requery the data in the combo box to add the new entries.
There are better ways to do this but this is the easiest.