windows applications

where you are binding the datasource with the comboBox there you just insert a new Item in DataSource of comboBox .. i am assuming that you have binded a DataTable as "dt" to the ComboBox...
so

DataRow dr = dt.NewRow();/* 'dt' is the DataSource of ComboxBox as DataTable*/
dr["columnName"]="---Select---";
dt.Rows.InsertAt(dr,0);
comboBox1.SelectedIndex=0;

this have to be after the binding of DataSource to ComboBox..
my previous answer was totally wrong....
you cant modify the Item Collection of a ComboBox when that ComboBox is binded to some DataSource...
if you need to modify the Items of that ComboBox then you must modify the DataSource of that ComboBox...