I think I saw a box  like that on .Net, but I don't know
how to import .Net controls to VBA projects (if it is possible).
VB allows ActiveX, COM, and third party objects which can
exhibit this behavior. You can do almost anything in VB that
can be done in VBA, but VB will set you back some cash.

I suppose you could capture keydown events where your
ComboBox has focus and then update the selection manually, but
that sounds like a lot of trouble. Better to search Google to
see if someone else has already come up with a similar
solution for a VBA control.