Use VBA code in the combo's NotInList event, such as:
Private Sub combobox_NotInList(NewData as String, Response as Integer)
Dim iAns As Integer
iAns = MsgBox(NewData & " is not in the list. Add it?", vbYesNo)
If iAns = vbYes Then
' Add the new value
Me!combobox.RowSource = Me!combobox.RowSource & ";" & NewData
Response = acDataErrAdded
Else
' undo the selection
Me!combobox.Undo
Response = acDataErrContinue
End If
End Sub