You can try something like this:
Sub ComboCreate()
Application.ScreenUpdating = False
Dim boxnumber As Integer
For boxnumber = 0 To 499
Worksheets("Sheet1").OLEObjects.Add(ClassType:="Forms.ComboBox.1", Link:=False, _
DisplayAsIcon:=False, Left:=1, Top:=15 * boxnumber, Width:=97.5, Height:=16.5).Select
Next boxnumber
Application.ScreenUpdating = True
End Sub
Then, you can use a For Each loop to do stuff to all those combo objects, like so:
Sub ComboDoStuff()
Dim obj As OLEObject
For Each obj In Worksheets("Sheet1").OLEObjects
obj.ListFillRange = "Sheet1!D1:D20"
obj.Placement = 2
'obj.Delete
Next obj
End Sub
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