Here's Albin's C# converted to VB:
textBox1.Multiline = True
Dim sb As New StringBuilder()
For Each item As String In comboBox1.Items
sb.Append(item)
sb.AppendLine()
Next item
textBox1.Text = sb.ToString()
And here's your code fixed:
mytextbox.Multiline = True
For i = 1 to Mycombobox.Items.Count
mytextbox.Lines(i - 1) = Mycombobox.Items(i - 1)
Next
Take your pick!