The below code will trap the event you are after. However, once an item is selected, it can't be deselected without selecting another value. In other words, SelectedIndex will never again = -1. It would seem that you need to set Label26.visible = true during load and then let this function turn it off after the user selects a value.
Private Sub ComboType_SelectedIndexChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles ComboType.SelectedIndexChanged
If ComboType.SelectedIndex = -1 Then
Label26.Visible = True
Label26.ForeColor = Color.Red
Label26.Text = "(Select the Job Category )"
Else
Label26.Visible = False
End If
End Sub