You do not get list of values in your ComboBox? Try to click to Sheet2 and then back to Sheet1 because the values are added to ComboBox when Sheet1 is activate, so you need to switch between sheets.
That is why I said it is little tricky, also I mean that if you switch two times between sheets (go to Sheet2 then to Sheet1 and again Sheet2 and back to Sheet1) you will get doubled list in ComboBox because every time the Sheet1 is activated it adds list of values.
Maybe it is better solution to put that program code in Workbook > Open instead of Workbook > SheetActivate.
Or the best solution is to put CommandButton also from ActiceX Controls which will do this and then turn itself to enabled = False so you can not press button anymore.
As you said, keep playing with it.
Regards,
-JAKUZA-