You have to Insert to the object you are databinding to rather than to the combobox. You can't insert directly into the combobox.
You can use this:
DataTable dt = new DataTable();
dt.Columns.Add("ID", typeof(int));
dt.Columns.Add("CategoryName");
DataRow dr = dt.NewRow();
dr["CategoryName"] = "Select";
dr["ID"] = 0;
dt.Rows.InsertAt(dr, 0);
cmbCategory.DisplayMember = "CategoryName";
cmbCategory.ValueMember = "ID";
cmbCategory.DataSource = dt;
cmbCategory.SelectedIndex = 0;
This is very straight forward example.
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