Your error is simple. The SQL you wrote gives you only one column: "ComboBoxNomeFuncionario". When you set the DisplayMember, you are refering to a column you don't have: Nome,
comando.CommandText = "Select Nome+' ' +Apelido as ComboBoxNomeFuncionario from ManutencaoFuncionarios"
da = New SqlDataAdapter
da.SelectCommand = comando DataSetManutencaoFuncionarios = New DataSet
con.Open()
da.Fill(DataSetManutencaoFuncionarios, "ManutencaoFuncionarios")
ComboBoxNomeFuncionario.DataSource = DataSetManutencaoFuncionarios.Tables("ManutencaoFuncionarios")
ComboBoxNomeFuncionario.DisplayMember = ("Nome")
Change your SQL to this
Select Nome, Nome + ' ' + Apelido as ComboBoxNomeFuncionario from ManutencaoFuncionarios