I got it to work the way you want using MouseDown instead:

  PROCEDURE MouseDown
    LPARAMETERS nButton, nShift, nXCoord, nYCoord
    This.Requery()
  ENDPROC

This could become a performance problem depending on the size of the table you are querying because this will fire anytime the user clicks anywhere on the combo, not just the dropdown button. I could not make it work using the DropDown event.

You could dummy this up by overlaying a textbox over the display part of the combo to do your search with. When the user click the drop down button, you could do the requery from the lostfocus of the textbox. Once you select a value from the dropdown list, you could set the Value of the text box to the display value of the dropdown.