It depends what you mean by coloured as to how you would solve this (and I'm assuming you're using Windows Forms here). If you wanted to change the foreground colour, you could use something like this
private void comboBox1_DrawItem(object sender, DrawItemEventArgs e)
{
e.DrawBackground();
ComboBox combobox = sender as ComboBox;
string text = combobox.Items[e.Index].ToString();
Brush brush;
if (e.Index == combobox.Items.Length - 1)
{
brush = Brushes.Red;
}
else
{
brush = Brushes.Black;
}
e.Graphics.DrawString(text, combobox.Font, brush, e.Bounds.X, e.Bounds.Y);
}