You need to custom draw it - the standard ComboBox doesn't allow you to customize the appearance of the drop down list.
This example might be of help to you:
Appearance Customizable ComboBox[
^]
But I don't know if it even allows changes to the drop down list, or only to the textbox part.
Generally, this is quite hard to do, and it'll probably take you a long time to figure out and get sorted. Are you really sure that it's worth the time?