I can't see any native .NET way to do it but if you want to get your hands dirty with the underlying Win32 controls...
You should be able to send it the CB_GETCOMBOBOXINFO
message with a COMBOBOXINFO
structure which will contain the internal edit control's handle.
You can then send the edit control the EM_SETCUEBANNER
message with a pointer to the string.
(Note that this requires at least XP and visual styles to be enabled.