You were looking at the help for a dropdown control for a Web page.
The ActiveX control from the Control Toolbox is not at all the same
beast, so that help topic doesn't apply.

ActiveX controls can't store their values; you have to reload them
each time the user creates a new document or opens an old one. To do
that you need VBA code in the Document_New and Document_Open
procedures.

One way is to repeat the .AddItem method once for each entry you want
to add:

Private Sub Document_New()
   With ComboBox1
       .AddItem "one"
       .AddItem "two"
       .AddItem "three"
       .ListIndex = 0
   End With
End Sub

This gets pretty tedious after three or four items. Another way is to
load all the items into an array in a Variant variable, and then
assign the variable to the box's .List property:

Private Sub Document_New1()
   Dim TheList As Variant
   TheList = Array("one", "two", "three")
   ComboBox1.List = TheList
   ComboBox1.ListIndex = 0
End Sub

A variation of the .List method is to load the array from an external
data source, which can be a Word document, an Excel worksheet, a
database, etc. Sample code is shown near the end of
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnword2k2/html/
odc_activeX.asp.

--
Regards,
Jay Freedman
Microsoft Word MVP         FAQ: http://word.mvps.org