If you're using Vista or Windows 7 with .NET 3.5 SP1 I recommend you use the CustomPlaces property on OpenFileDialog rather than a custom combo box.
See this MSDN article (for WPF): http://msdn.microsoft.com/en-us/library/microsoft.win32.filedialog.customplaces(v=VS.100).aspx
Or this MSDN article (for Windows Forms): http://msdn.microsoft.com/en-us/library/system.windows.forms.filedialog.customplaces(v=VS.100).aspx
On Windows 2000 and XP it is also possible to customize the places side bar. But it is more difficult and requires you to use some C++ code (via CLI/C++ is probably best). The technique is described in detail in this MSDN article: http://msdn.microsoft.com/en-us/magazine/cc300434.aspx
If you're dead set on using a combo box you've added to the OpenFileDialog then you will probably just need to know what windows message to send to the dialog. I'm afraid I don't know which message you need to send. The nasty internal Win32 API details of the Common Open/Save dialog is detailed here: http://msdn.microsoft.com/en-us/library/ms646960(VS.85).aspx
If you can figure out which messages to send to the window the probably way of doing things is to fill the filename text field with the directory you want to switch to simulate a OK button click. The dialog will switch to that directory if you do this.
Sending messages to this window will probably require you to not use OpenFileDialog directly but rather subclass the abstract FileDialog class upon which it is based.