Private Function reverseFileNameComparer() As Comparison(Of String)
Return Function(x, y) (String.Compare(Path.GetFileNameWithoutExtension(y), Path.GetFileNameWithoutExtension(x), StringComparison.OrdinalIgnoreCase))
End Function

Private Sub AddToCombo(combo As ComboBox, directoryPath As String, filter As String)
' Error check, 'IsNothing(combo)' and 'IO.Directory.Exists(directoryPath)' bla-bla
combo.BeginUpdate()
For Each fn As String In Directory.EnumerateFiles(directoryPath).OrderByDescending(Function(f) (Path.GetFileNameWithoutExtension(f)))
combo.Items.Add(Path.GetFileNameWithoutExtension(fn))
Next
combo.EndUpdate()

  ' Or...
  Dim files() As String = Directory.GetFiles(directoryPath, filter)
  Array.Sort(files, reverseFileNameComparer)
  combo.Items.AddRange(Array.ConvertAll(files, AddressOf Path.GetFileNameWithoutExtension))

  'Since you want to order by file name, I suggest you use the System.IO namespace:
  'You could:
  combo.FormattingEnabled = True
  'Add a handler to 'ComboBox.Format -
  'or --
  combo.DisplayMember = "Name"
  combo.BeginUpdate()
  For Each fio As FileInfo In New DirectoryInfo(directoryPath).EnumerateFiles(filter).OrderByDescending(Function(f) (f.Name))
      combo.Items.Add(fio.Name)

  Next
  combo.EndUpdate()

End Sub

Private Sub cboFileInfo_format(sender As Object, e As ListControlConvertEventArgs)
Dim f As FileInfo = DirectCast(e.ListItem, FileInfo)
e.Value = f.Name.Substring(f.Name.LastIndexOf("."c) + 1)
End Sub