When using the CB_SETCURSEL message, the CBN_SELCHANGE message is not sent.
How to notify a control that the selection was changed
You're not supposed to use CBN_SELCHANGE unless the change in selection was made by the user.
You don't indicate what language you're using; it would make it easier to provide you with a workaround if you did so.
In Delphi, where an OnChange() would be associated with the combobox, you just call the event method directly:
// Send the CB_SETCURSEL message to the combobox
PostMessage(ComboBox1.Handle, CB_SETCURSEL, Whatever, WhateverElse);
// Directly call the OnChange() handler, which is the equivalent to CBN_SELCHANGE
ComboBox1Change(nil);