Try something like this in the RowSource of your combo:
SELECT DISTINCT State
FROM Customers
WHERE State Is Not Null
ORDER BY State;
This assumes you have a table named Customers, with a field named State.
A weakness of this approach is that it may not be obvious how to add a new
customer from a state where you've never had a customer before. If state is
a text field, and the user can guess the correct text, and there is no
hidden column here, it may be possible by leaving the combo's Limit To List
property set to No.