if MatchRequired is set  to True and the user  types a value that is not
available in the list, not an Error that interrupts the script is generated but
a message which gives the user the opportunity to correct the input.

If this is not good enough, you can use:

Private Sub ComboBox1_KeyDown(ByVal KeyCode As MSForms.ReturnInteger, ByVal
Shift As Integer)
MsgBox "Please pick a choice by click the small arrow."
End Sub

(www.geekstogo.com/.../...rror_message-t139442.html)

But if the users keeps on giving Enter, still the message will appear.

Why don't you use a ListBox instead?