You could listen to the DropDownList.SelectedIndexChanged event, and in the event handler set focus to the next control, either by setting TextBox.Focus(), or by calling System.Windows.Forms.Control.SelectNextControl()
I think this would be 'non standard' behaviour for what its worth. Its quite normal to expect the user to tab or select the next control after using a drop down.
Edit: Sorry, in a WPF ComboBox the equivalent event is SelectionChanged, but on reflection you'd be better using OnDropDownClosed. This would mean you only move the focus specifically after using the drop down rather than just whenever the value changes.