I have solve the problem to some extent, my wai list below, but not perfect.

  pSearchBar = (CXTPToolBar*)pCommandBars->Add(_T("Search bar"), xtpBarTop);
 if (!pSearchBar ||
  !pSearchBar->LoadToolBar(IDR_TOOLBAR_SEARCH))
 {
  TRACE0("Failed to create SearchBar\n");
  return FALSE;
 }

 //set the  TrackingMode False to make sure the combox in the searchbar enable the IE autocompleter function.
 
 pSearchBar->SetTrackingMode(FALSE);

but unfortunately, the solve isn't perfect to some extent, when user pop the downdrop list of the combox, sometimes the mousewheel may not function, and the main menu item will lost focus at all.

with the help of oleg, I make  SHAutoCompletel work in xtpcombox  but I find two problems again , that's 

      1  when I try to drag the autocomplete hook window and the hook window will disappear and only remain the white rectangle ,  the rectanage can zoom ,  after release the mouse ,all disappear.

     2 when the autocomplete list appear the mouse wheel can't use but the common windows

      the example of the problem is:
https://forum.codejock.com/uploads/blueseaing/2004-11-04 _030207_CustomThemes.rar

     I use the spy, and find when OnNCLbutton in the auto suggestion window , the edit control will get the onkillfocus message, and then the auto suggestion window showwindow(false), and i think the problem may be bring from the mousetrack of xtpcommadbar, but in detail , i can't know more.