The following worked for me:

MyComboBox.DisplayLayout.Bands(0).ColHeadersVisible = False

Finally got it to work using the following code:

Dim tempValue As String = myPreviousValue 'changes to the object loose the selected row–save it off and restore later

MyUltraCombo.DataSource = queryDS.Tables(0) 'load the new data

'Restore the previous selection 
If tempValue <> "" Then
    For Each row As Infragistics.Win.UltraWinGrid.UltraGridRow In MyUltraCombo.Rows
        If row.Cells(0).Value.ToString = tempValue Then
            MyUltraCombo.SelectedRow = row
        End If
    Next
End If

Makes sense.  What method would I use to set it?

I'm running into a wierd senario.  When I set the text property it works–but it also clears all the values out of the drop-down list.  Seems I can either set the value, or have a drop-down list but not both. 🙁