I want to add an item to a combox that I have already bound with some data from dbf table. I was trying to do the following,
when an Item does not exist it will prompt that does not exist and let me entering it

In addition to the link provided to my solution, you may want to consider downloading the sample chapters from 1001 Things You Wanted to Know About Visual FoxPro. One of the sample chapters is:

Chapter 5: Combos and Lists
Combo and list box basics
List and ListItem collections
When do the events fire?
How do I bind my combo and list boxes?
How do I refer to the items in my combo and list boxes?
What is the difference between DisplayValue and Value?
What's the difference between RowSourceTypes "alias" and "fields"?
How do I make my combo and list boxes point to a particular item?
Quickfill combos
How do I add new items to my combo and list boxes?
How do I filter the items displayed in a second combo or list box based on the selection made in the first?
A word about lookup tables
Generic lookup combos and lists
So what if I want to bind my combo to a value that isn't in the list?
How do I disable individual items in a combo or list?
How do I create a list box with check boxes like the one displayed by Visual FoxPro when I select "View Toolbars" from the menu?
A mover list class
What if I need to display hundreds of items in my combo box?