OK - let's be sure you've put the code in the correct place.
Open the form in design view. Click on the Source combo box. Open the
Properties window (icon on toolbar), and click on Event tab.
Go to the box next to Not In List. Delete anything that may be in that box
so that the box is empty. Click in the box. Click on the three-dot box at
far right of the box. Select Code Builder from the popup window.
You'll see two lines of code in the Visual Basic Editor (VBE):
Private Sub Source_NotInList(NewData As String, Response As Integer)
End Sub
with the cursor on the blank line between the two.
Paste the code from the ACCESS Web site between these two lines (don't
repeat the First and Last lines of code).
Close the VBE.
In the Properties window, click on Data tab. Change the box next to Limit To
List to Yes.
Save and close the form.
You now should have what you want to work.
If you don't want the message box prompt, then delete this line of code:
If MsgBox(strMsg, vbQuestion + vbYesNo, "Add new name?") = vbNo Then
and delete the "End If" just above the "rs.Close" step.