How about:
(note: Leapyears!!)

private sub UserForm_iitialize()
Dim x as integer
combobox3.columncount = 2
For x = 1 To 12
ComboBox3.additem Format(dateserial(1, x, 1), "mmmm")
ComboBox3.List(Combobox3.Listcount - 1, 1) = x
next
end sub

private sub combobox3_Change()
dim iDays As integer
dim x as Integer
Select case combobox3.column(2)
   case 1, 3, 5, 7, 8, 10, 12
       idays = 31
   Case 2
       idays = 28
   Case Else
       idays = 30
End Select
for x = 1 To idays
   Combobox4.addItem CStr(x)
next
End sub

Krgrds,
perry

Your code is trying to "OR" together a bunch of string values:

  "January" Or "March" Or "May" Or "July" Or "August" Or "October" Or
"December"

The Or operator requires Boolean (true/false) values, so you're getting a
type mismatch.

The brute-force way is to say

   If (ComboBox3.Value = "January") Or _
      (ComboBox3.Value = "March") Or _
      (ComboBox3.Value = "May")  ' ... etc.

With more than three choices, though, a Select Case is more efficient. More
on that later...

Once you get past the syntax error, you'd find that your code (if it's all
in the same procedure) doesn't do the right stuff. It needs to be split
between two different event procedures. All the .AddItem calls for ComboBox3
should go into Userform_Initialize. Also in there, I'd recommend including

  ComboBox3.ListIndex = 0
  ComboBox3.MatchRequired = True

The first one makes January appear in the box instead of a blank. The second
one says that the user can't type in a value that isn't one of the entries
already in the list.

Everything else belongs in the ComboBox3_Change procedure, which fires each
time the user clicks a different item in the box. The first thing it has to
do is remove any values already in the ComboBox4 list (otherwise you'll get
multiple copies of the list of dates). Then it can reload ComboBox4 -- this
is where the Select Case comes in. You can use this, although you might want
to adjust February for leap years.

Private Sub ComboBox3_Change()
   Dim y As Integer, LastDay As Integer
   Select Case ComboBox3.Value
       Case "February"
           LastDay = 28
       Case "April", "June", "September", "November"
           LastDay = 30
       Case Else
           LastDay = 31
   End Select

   ComboBox4.Clear
   For y = 1 To LastDay
       ComboBox4.AddItem y
   Next
End Sub

To avoid getting that error, the syntax of the If statement needs to be:

If ComboBox3.Value = "January" Or ComboBox3.Value = "March" Or
ComboBox3.Value = "May" etc.

But you have other problems as well, not the least of which is that the
months in your If statement all have 31 days yet you are giving the user the
choice of only 30 days and for the months that have less than 31 days, you
are giving them the opportunity to select the 31st day of the month.

Then, you need to split the code into two routines, one to populate
combobox3 and one the populate combobox4 based on the month selected in
combobox3

Dim y As Long

ComboBox3.AddItem "January"
ComboBox3.AddItem "February"
ComboBox3.AddItem "March"
ComboBox3.AddItem "April"
ComboBox3.AddItem "May"
ComboBox3.AddItem "June"
ComboBox3.AddItem "July"
ComboBox3.AddItem "August"
ComboBox3.AddItem "September"
ComboBox3.AddItem "October"
ComboBox3.AddItem "November"
ComboBox3.AddItem "December"
ComboBox3.Visible = True

Private Sub ComboBox3_Change()
Dim i As Long
ComboBox4.Clear
If ComboBox3.Value = "January" Or ComboBox3.Value = "March" Or
ComboBox3.Value = "May" Or ComboBox3.Value = "July"  _
Or ComboBox3.Value = "August" Or ComboBox3.Value = "October" Or
ComboBox3.Value = "December" Then
   For y = 1 To 30  'Should be 31
       ComboBox4.AddItem y
   Next
Else
   For y = 1 To 31 'should be 30 except for February and then what about
leap years?
       ComboBox4.AddItem y
   Next
End If
End Sub