You can set a special value in the drop-down list, which when selected, reveals a text box that the user types into. This is probably the easiest thing, but then it requires two fields -- one for the drop-down and one for the text box.

You can possibly look into some more complicated means. One is available as an InfoPathDev Example titled, "Fully Editable Drop-Down List Box".

Can a blank option be added to a drop down list to be compleated by the end
user?