public class DataItem
{
public MyEnum Value { get; set; }
public string Text { get; set; }
}
this.comboBox1.DataSource = Enum.GetValues(typeof(MyEnum)).Cast<MyEnum>()
.Select(x => new DataItem() { Value = x, Text = x.ToString() })
.ToList();
this.comboBox1.ValueMember = "Value";
this.comboBox1.DisplayMember = "Text";
this.comboBox1.DataBindings.Add(
new Binding("SelectedValue", yourObjectToBind, "PropertyOfYourObject"));