Dropdowns are called
ComboBox[
^] in Windows Forms as well as in
WPF[
^]. Which one you use depends on what variant of windows application you're creating (Forms or WPF).
[Edit]
For something more individual, you have to build your control on more basic stuff.
You need an event upon which your dropdown is shown. And you need another event upon which it is hidden again.
What you pointed to looks like a
Label[
^] that shows the dropdown on its
MouseEnter event[
^]. The dropdown vanishes on the label's
MouseLeave event[
^] as well as on its own MouseLeave event.
The dropdown itself can be implemented as a
UserControl[
^] that you can design to look like what you want it to.
[/Edit]