I don't have access to Office 2003, but wasn't that built in? Anytime you create a drop down box, you could select whether you wanted to allow the values to be inserted into the rowsource. In 2007, you change the property of Limit to List="yes" and it will automatically prompt you if you add a non existing value.

If memory serves me, (which at my age, it probably isn't serving as much as it did) it does the same thing in 2003. Just set the following properties:
Limit to List: Yes
Allow Value List Edits: Yes

DONE. No VBA, No hard feelings.
If you want to do it with VBA, then I think this should work

[VBA]
If MsgBox("You have entered a value that is not available." & vbNewLine & _
"Would you like to add it to the list of available items?", vbYesNo) = vbYes Then
Me.Combo2.RowSource = Me.Combo2.RowSource & ";" & NewData
Else
MsgBox "Please select a valid value, then", vbOKOnly
End If[/VBA]
If your rowsource is a table, then append the item into the table.