If you look at your code more closely, your firing the "Form Load Event"
But your saying you want to display the picture when an item is clicked. Thus stating that you want to fire the "Combo Box Click Event"
Your current code ONLY handles the form load event, you need your code to handle the combo box click event. So in your form design view, double click the combo box and it'll bring up the code view and create a new sub routine handling said event.
It'll be something like this:
Private Sub cmb_Click(ByVal sender As Object, ByVal e As System.EventArgs) Handles cmb.Click
'select the image to display corresponding to the index selected