Option Explicit
Private Sub UserForm_Activate()
    Dim i As Long, Text As String
    With ActiveWorkbook.ActiveSheet.UsedRange
        ComboBox1.Value = .Cells(1, 1).Text
        For i = 1 To .Columns.Count
            Text = .Cells(1, i).Text
            If Text <> "" Then ComboBox1.AddItem .Cells(1, i).Text
        Next
    End With
End Sub

Наверное как-то так.