A combobox is like any other custom component. Google for tutorials on how to build custom components, and check out UIObject.as and UIComponent.as in your flash mx 2004 folder. Especially UIObject, since that demonstrates how you turn a movieclip into a component.
If it's just a one-timer, it might be easier to just make it a normal symbol and not a component. But if you do make a component, and size is an issue, you'll have to inherit from movieclip, which means you'll have to write quite a bit of code to intelligently deal with user events, scaling, sizing, and so on.