You need to declare the Data Reader as follows:
Dim cn As OleDbConnection = New OleDbConnection("Provider=Microsoft.Jet.OLEDB.4.0;Data Source=C:\Users\panchani\Documents\Visual Studio 2005\Transport.mdb")
Dim cmd As OleDbCommand = New OleDbCommand
cmd.Connection = cn
cmd.CommandText = "select [Item Name] from item_master"
cn.Open()
Dim dr As OleDbDataReader = cmd.ExecuteReader()
cmbName.Items.Clear()
While (dr.Read)
cmbName.Items.Add(dr("Item Name"))
End While
dr.Close()