Choosing Color in One ComboBox is also filled up to other ComboBoxes. How can I solve it?

If this "if" statement is from your real code, then your troubles are there.
Lets first use PRE tags and have a look at your "if" statement:

if (nCtlColor == CTLCOLOR_EDIT || nCtlColor == CTLCOLOR_LISTBOX && pWnd->GetDlgCtrlID() == IDC_COLOR_COMBO) 
{ 
    //change color; 
}

Now examine the condition block in your "if" statement and keep in mind that the AND operator (&&) will be evaluated before the OR operator (||), because of it's higher priority[^].

I'm pretty sure that the correct way of writing this "if" statement is this (with additional brackets to guarantee that the OR operator (||) will be evaluated first):

if ((nCtlColor == CTLCOLOR_EDIT || nCtlColor == CTLCOLOR_LISTBOX) && pWnd->GetDlgCtrlID() == IDC_COLOR_COMBO) 
{ 
   //change color; 
}

Also consider deriving a class from CComboBox and use the reflection of WM_CTLCOLOR in order to have your own colored one.
You can subclass even the list control and the edit control parts of the combobox. Check it out here[^].

I hope this helps. :)


[Update]

It seems that there is an interesting behavior of WM_CTLCOLOR with combobox. Have e look at this[^] discussion.

IMHO the best option is deriving your own class from CComboBox. It could be really very simple.

Have a look at this demo class that I've created as an example for you:

- Relevant part from ColorCombo.h:

class CColorCombo : public CComboBox
{
	DECLARE_DYNAMIC(CColorCombo)
public:
	CColorCombo();
	virtual ~CColorCombo();

protected:
	DECLARE_MESSAGE_MAP()

public:
        // We will trap WM_CTLCOLOR directly...
	afx_msg HBRUSH OnCtlColor(CDC* pDC, CWnd* pWnd, UINT nCtlColor);
};

- Relevant part from the ColorCombo.cpp:

IMPLEMENT_DYNAMIC(CColorCombo, CComboBox)

CColorCombo::CColorCombo()
{
}

CColorCombo::~CColorCombo()
{
}

BEGIN_MESSAGE_MAP(CColorCombo, CComboBox)
	ON_WM_CTLCOLOR()  // WM_CTLCOLOR message map entry
END_MESSAGE_MAP()

// And here is an example code for OnCtlColor
HBRUSH CColorCombo::OnCtlColor(CDC* pDC, CWnd* pWnd, UINT nCtlColor)
{
	HBRUSH hbr = CComboBox::OnCtlColor(pDC, pWnd, nCtlColor);

	// Just a demo...
	if (nCtlColor == CTLCOLOR_EDIT || nCtlColor == CTLCOLOR_LISTBOX) 
	{
                // For example we can set text and etc.
		pDC->SetTextColor(RGB(255, 0, 0));
		pDC->SetBkMode(TRANSPARENT);

                // If you need to color the background you can return a brush 
                // different from 'hbr'. Because this is just a demonstration 
                // I'll create the brush here but keep in mind that creating brush 
                // once and keeping it for example as a class member is better approach.
		return (HBRUSH) ::CreateSolidBrush(RGB(255, 255, 0));
	}

	return hbr;
}

Now in your dialog class you can add member for your combo box, include ColorCombo.h and change the added member type from CComboBox to CColorCombo - that's it! :)

An alternative approach is subclassing the combo box. See here[^] for details, but I still recommend deriving your own class from CComboBox as I've already demonstrated this method. IMHO this is the clearest approach. :)

[/Update]