Hi, Sylvain,
I think you're close...I believe you need one more line at the end, to actually bind/map a property of the combobox to the datatable.
cboClient.DataBindings.Add("SelectedValue",dtClient, ,"PK_Client");
This way, what's in the combo's SelectedValue (associated with ValueMember) will be mapped to PK_Client.
Let me know if that helps...
Kevin