It's hard to make recommendations without knowing your full requirements, but my first thought is that a ComboBox may not be the best way to present a Many to Many to the user. You might take a look at the Many to Many Example in the EntitySpacesDemo to see if it offers a solution.
A few other possibilities:
1) The WinForm ComboBox has a Sorted property which defaults to false. Set it to true.
2) Set the Sort property on the collection after populating it.
collection.Sort = "LastName ASC"
3) Add an ORDERBY to the SELECT you are using for your JOIN.
David Neal Parsons
www.entityspaces.net