The basic problem is that you're misusing StrMsg. You define it as being a particular string, with no way to change it, then try to test whether it's something else! Try something based on:
Code:
Private Sub ComboBox1_NotInList(NewData As String, Response As Integer)
Dim varMsg As Variant
' Prompt user to verify they wish to add new value.
varMsg = MsgBox("'" & NewData & "' is not in the list. " & _
"Would you like to add it?", vbOKCancel)
If varMsg = vbOK Then
MsgBox "OK"
Else
MsgBox "Cancel"
End If
End Sub