Hmmm... I don't see anything wrong with the additem method in your code. To make sure I wasn't missing something I added it to the Form Load event in a new project for testing, and it worked just peachy.
Private Sub Form_Load()
cboAttack.AddItem "Use Magic"
cboAttack.AddItem "Use Item"
cboAttack.AddItem "Run Away"
So it may be down to where it is in the code (I didn't see a procedure header for the stuff you posted) and when the additem method is used.
***EDIT*** also the types of events you choose will make things behave differently. This procedure, for example didn't do anything:
Private Sub cboMagic_Change()
Here is an alternate method (probably not the only one)
Private Sub cboMagic_DropDown()
When you are in the code window, there are usually two drop down boxes where you can find your object in the left dropdown, and a list of all the events in the right dropdown.
If you have MSDN installed, you can simply click on the control in the form and hit F1. When the help menu comes up, there should be a link to the events for that control.
Hope that helps!