<ComboBox Name="ddlCountry" IsEditable="True" Text="Multi Select"
              IsTextSearchEnabled="False" StaysOpenOnEdit="True" Width="150" >
        <ComboBox.ItemTemplate>
            <DataTemplate>
                <CheckBox Name="chkCountry" Width="220" Checked="chkCountry_Checked" Unchecked="chkCountry_Unchecked"
                    Content="{Binding CountryName}" IsChecked="{Binding Check_Status}" CommandParameter="{Binding CountryId}">
                </CheckBox>
            </DataTemplate>
        </ComboBox.ItemTemplate>
    </ComboBox>

public partial class MainWindow : Window
     {
            DataTable dtCountry = new DataTable();
            Dictionary<int, string> country = new Dictionary<int, string>();
            public MainWindow()
            {
                InitializeComponent();
                LoadCountry();
            }
            private void LoadCountry()
            {
            try
            {
                using (SqlConnection con = new SqlConnection(Global.constring))
                {
                    using (SqlCommand cmd = new SqlCommand("select CountryId, CountryName from Country", con))
                    {
                        cmd.CommandType = CommandType.Text;
                        using (SqlDataAdapter sda = new SqlDataAdapter(cmd))
                        {
                            sda.Fill(dtCountry);
                        }
                    }
                }
                dtCountry.Columns.Add("Check_Status", typeof(System.Boolean)); // column added to set IsChecked property of the checkbox

                foreach (DataRow row in dtCountry.Rows)
                {
                    //need to set value to NewColumn column
                    row["Check_Status"] = false;   // or set it to some other value
                }
                dtCountry.AcceptChanges();

                ddlCountry.ItemsSource = null;
                ddlCountry.Items.Clear();

                ddlCountry.ItemsSource = dtCountry.DefaultView;
                ddlCountry.DisplayMemberPath = dtCountry.Columns["CountryName"].ToString();
                ddlCountry.SelectedValuePath = dtCountry.Columns["CountryId"].ToString();

                ddlCountry.SelectedIndex = 0;
            }
            catch (Exception ex)
            {

            }
        }
       private void chkCountry_Checked(object sender, RoutedEventArgs e)
        {
            country.Add(int.Parse(Convert.ToString(((System.Windows.Controls.Primitives.ButtonBase)sender).CommandParameter)),
                Convert.ToString(((System.Windows.Controls.ContentControl)sender).Content));

            ddlCountry.Text = GetCountry();
        }

        private void chkCountry_Unchecked(object sender, RoutedEventArgs e)
        {
            country.Remove(int.Parse(Convert.ToString(((System.Windows.Controls.Primitives.ButtonBase)sender).CommandParameter)));
            ddlCountry.Text = GetCountry();
        }

        //Method to set selected values as text of the combobox
        private string GetCountry()
        {
            StringBuilder cntry = new StringBuilder();
            foreach (var item in cntry)
            {
                cntry.Append(item.Value).Append(",");
            }

            return Convert.ToString(cntry).Trim(',');
        }

     }