Adding TCheckbox to TCombobox

You need to do the following:

Set ComboBox.Style:=csOwnerDrawFixed

//..... your form class
private
Selected: array of Boolean;
//.....

procedure TForm1.ComboBox1DrawItem(Control: TWinControl;
     Index: Integer; Rect: TRect; State: TOwnerDrawState);
begin
  SetLength(Selected, TComboBox(Control).Items.Count);
  with TComboBox(Control).Canvas do
  begin
    FillRect(rect);

    Rect.Left := Rect.Left + 1;
    Rect.Right := Rect.Left + 13;
    Rect.Bottom := Rect.Bottom;
    Rect.Top := Rect.Top;

    if not (odSelected in State) and (Selected[Index]) then
      DrawFrameControl(Handle, Rect, DFC_BUTTON,
        DFCS_BUTTONCHECK or DFCS_CHECKED or DFCS_FLAT)
    else if (odFocused in State) and (Selected[Index]) then
      DrawFrameControl(Handle, Rect, DFC_BUTTON,
        DFCS_BUTTONCHECK or DFCS_CHECKED or DFCS_FLAT)
    else if (Selected[Index]) then
      DrawFrameControl(Handle, Rect, DFC_BUTTON,
        DFCS_BUTTONCHECK or DFCS_CHECKED or DFCS_FLAT)
    else if not (Selected[Index]) then
      DrawFrameControl(Handle, Rect, DFC_BUTTON, DFCS_BUTTONCHECK or DFCS_FLAT);

    TextOut(Rect.Left + 15, Rect.Top, TComboBox(Control).Items[Index]);
  end;
end;

procedure TForm1.ComboBox1Select(Sender: TObject);
var
  i: Integer;
  Sel: string;
begin
  Sel := EmptyStr;
  Selected[TComboBox(Sender).ItemIndex] := not Selected[TComboBox(Sender).ItemIndex];
  for i := 0 to TComboBox(Sender).Items.Count - 1 do
    if Selected[i] then
      Sel := Sel + TComboBox(Sender).Items[i] + ' ';
  ShowMessage(Sel);  //Just for test...
end;