First, make sure you are using the Silverlight 4 version of the Telerik assemblies (the version number should end with 1040). Then you need to add a reference to the Telerik.Windows.Themes.Vista.dll in your application and use the following XAML:
<telerik:RadComboBox telerik:StyleManager.Theme="Vista" ... />
where telerik is:
the Telerik team
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system and vote to affect the priority of the items.