The problem is most likely that your combo box is not setting the SelectedValue properly. Check the SelectedValue property of the ComboBox and see what the value is. Also, you might post the stack trace from that exception dialog that pops up, it might help.
Also, if the SelectedValue is wrong, then you might need to use the DataSource property of the ComboBox. Instead of adding the items directly, create a DictionaryEntry[] and set it as the data source:
DictionaryEntry[] dataSource = new DictionaryEntry[] {
new DictionaryEntry("Pessoa F¡sica", "F"),
new DictionaryEntry("Pessoa Jur¡dica", "J"),
new DictionaryEntry("Prospect", "P"),
new DictionaryEntry("Internacional", "I") };
cbTipo.DataSource = dataSource;
cbTipo.DisplayMember = "Key";
cbTipo.ValueMember = "Value";
That should get you fixed.