unit MyComboBox;

interface

uses
 SysUtils, Classes, Controls, StdCtrls,Dialogs;

type
 TMyComboBox = class(TComboBox)
 private
 procedure Exit(Sender: TObject);
   { Private declarations }
 protected
   { Protected declarations }
 public
 constructor Create(AOwner:TComponent);override;
   { Public declarations }
 published
   { Published declarations }
 end;

procedure Register;

implementation

 constructor TMyComboBox.Create(AOwner: TComponent);
 var Cb :TComboBox;
begin
Cb := TComboBox.Create(self);
Cb.OnExit := Exit;
end;

procedure TMyComboBox.Exit;
begin
inherited;
ShowMessage('OK');
end;

procedure Register;
begin
 RegisterComponents('Standard', [TMyComboBox]);
end;

end.

TMyComboBox = class(TComboBox)
protected
   procedure DoExit; override;
end;

procedure TMyComboBox.DoExit;
begin
inherited;
// мой код
end;

constructor TMyComboBox.Create(AOwner: TComponent);
var Cb :TComboBox;
begin
Cb := TComboBox.Create(self);
Cb.OnExit := Exit;
end;