How to show text in combobox when no item selected?

Use the insert method of the combobox to insert the "Please select item" in to 0 index,

comboBox1.Items.Insert(0, "Please select any value");

and add all the items to the combobox after the first index. In the form load set

comboBox1.SelectedIndex = 0;

EDIT:

In form load write the text in to the comboBox1.Text by hardcoding

comboBox1.Text = "Please, select any value";

and in the TextChanged event of the comboBox1 write the following code

 private void comboBox1_TextChanged(object sender, EventArgs e)
        {
            if (comboBox1.SelectedIndex < 0)
            {
                comboBox1.Text = "Please, select any value";
            }
            else
            {
                comboBox1.Text = comboBox1.SelectedText;
            }
        }

I can't see any native .NET way to do it but if you want to get your hands dirty with the underlying Win32 controls...

You should be able to send it the CB_GETCOMBOBOXINFO message with a COMBOBOXINFO structure which will contain the internal edit control's handle. You can then send the edit control the EM_SETCUEBANNER message with a pointer to the string. (Note that this requires at least XP and visual styles to be enabled.

    private void comboBox1_TextChanged(object sender, EventArgs e)
    {
        if (comboBox1.Text == "")
            comboBox1.Text = "Select one of the answers"; 
    }

should do the trick at startup this line is present, when selected an item on combobox, this items text will appear. when deleling the text this text will appear again

Credit must be given to IronRazerz in a response to TextBox watermark (CueBanner) which goes away when user types in single line TextBox (not for RichTextBox).

You will need to declare the following in your class:

private const int CB_SETCUEBANNER = 0x1703;

[System.Runtime.InteropServices.DllImport("user32.dll", CharSet = System.Runtime.InteropServices.CharSet.Auto)]
private static extern int SendMessage(IntPtr hWnd, int msg, int wParam, [System.Runtime.InteropServices.MarshalAs(System.Runtime.InteropServices.UnmanagedType.LPWStr)]string lParam);

Then you can use it with something like:

SendMessage(this.comboBox1.Handle, CB_SETCUEBANNER, 0, "Please select an item...");

This is assuming the Combo Box's DropDownStyle is set to DropDownList, as is the original poster's question.

This should result in something like the following: