Hi,I have tested following code ,there is no problem
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
Dim ds As New DataSet
Dim strConn As String
Dim da As SqlDataAdapter
Dim conn As SqlConnection
New SqlConnection(strConn)
New SqlDataAdapter("Select * from Categories", conn)
Me.ComboBox1.DisplayMember = "CategoryName"
Me.ComboBox1.ValueMember = "CategoryID"
Me.ComboBox1.DataSource = ds.Tables(0)
End Sub
Hope it helps