This is quite a common task/requirement, to have a drop down/combo interface with checkable options inside. Silverlight is quite good at this due to its databound approach to displaying and manipulating data. As a preface, lets assume you have wrapped your IEnumerable data in a wrapper class that contains the data item and a 'Selected' property, for example:

public class SelectableObject : ComponentModel.INotifyPropertyChanged
{

    private bool _selected;
    public bool Selected
    {
        get { return _selected; }
        set
        {
            _selected = value;

            OnPropertyChanged("Selected");
        }
    }

    public object DataItem { get; set; }

    public event PropertyChangedEventHandler PropertyChanged;
    protected void OnPropertyChanged(string propertyName)
    {
        if (PropertyChanged != null)
            PropertyChanged(this, new PropertyChangedEventArgs(propertyName));
    }
}

Now that you have a datasource which has the properties needed to bind a selectable list you can display the data in a modified combo box which is designed to work with this kind of data. I based my combo box on the RadComboBox (prism version), but this can likely be easily translated to any other base implementation: XAML:

<UserControl x:Class="FQNS.MultiSelectDropDown"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
    mc:Ignorable="d"
             xmlns:my="clr-namespace:ExternalControls.TelerikForPrism;assembly=ExternalControls.TelerikForPrism"
    d:DesignHeight="300" d:DesignWidth="400">
    
    <Grid x:Name="LayoutRoot">
        <my:PrismRadComboBox ItemsSource="{Binding}"  Name="cmbComboBox" EmptyText="-All-" Margin="0,0,0,2" SelectionChanged="cmbComboBox_SelectionChanged" DropDownClosed="cmbComboBox_DropDownClosed">
            <!-- Data Template is defined in code behind-->
        </my:PrismRadComboBox>
    </Grid>
</UserControl>

Code-behind:

public partial class MultiSelectDropDown : UserControl
{
    public MultiSelectDropDown()
    {
        InitializeComponent();

    }

    private string _displayMemberPath;
    public string DisplayMemberPath
    {
        get { return _displayMemberPath; }
        set
        {
            _displayMemberPath = value;
            cmbComboBox.ItemTemplate = (DataTemplate)XamlReader.Load(@"
            <DataTemplate xmlns=""http://schemas.microsoft.com/client/2007"">
                <StackPanel Orientation=""Horizontal"">
                    <CheckBox IsChecked=""{Binding Selected, Mode=TwoWay}""></CheckBox>
                    <TextBlock Text=""{Binding Path=" + DisplayMemberPath + @"}""></TextBlock>
                </StackPanel>
            </DataTemplate>");
        }
    }

    private void cmbComboBox_SelectionChanged(object sender, Telerik.Windows.Controls.SelectionChangedEventArgs e)
    {
        //we actually dont want 'selections' to be made, so always select -1 but tick the selected item
        SetItemSelectedProperty(cmbComboBox.SelectedItem, true);

        cmbComboBox.SelectedIndex = -1;
    }

    private void SetComboText()
    {
        //at this point the data context should be at least IEnumerable
        IEnumerable objectList = DataContext as IEnumerable;
        if (objectList != null)
        {
            List<object> selectedItems = (from object o in objectList where GetItemSelectedProperty(o) == true select o).ToList();
            switch (selectedItems.Count)
            {
                case 0:
                    cmbComboBox.EmptyText = "-All-";
                    break;
                case 1:
                    cmbComboBox.EmptyText = GetItemDisplayProperty(selectedItems[0]);
                    break;
                default:
                    cmbComboBox.EmptyText = "Multiple Selections..";
                    break;
            }

        }
    }


    private void SetItemSelectedProperty(object dataItem, bool value)
    {
        if (dataItem != null)
        {
            //get the 'Selected' property and confirm its a correct type
            PropertyInfo selectedProp = dataItem.GetType().GetProperty("Selected");
            if (selectedProp != null && selectedProp.PropertyType == value.GetType())
            {
                selectedProp.SetValue(dataItem, value, null);
            }
        }
    }

    private bool GetItemSelectedProperty(object dataItem)
    {
        if (dataItem != null)
        {
            //get the 'Selected' property and confirm its a boolean type
            PropertyInfo selectedProp = dataItem.GetType().GetProperty("Selected");
            if (selectedProp != null && selectedProp.PropertyType == typeof(bool))
            {
                return (bool)selectedProp.GetValue(dataItem, null);
            }
        }

        //default to not selected
        return false;
    }

    private string GetItemDisplayProperty(object dataItem)
    {
        if (dataItem == null)
            throw new ArgumentNullException("dataItem", "Data Item cannot be NULL");

        //get the 'DisplayMemberPath' property
        if (DisplayMemberPath.Contains("."))
        {
            //child property - iterate the tree
            Type currentType = dataItem.GetType();
            object currentValue = dataItem;

            string[] props = DisplayMemberPath.Split('.');
            foreach (string p in props)
            {
                PropertyInfo thisProp = currentType.GetProperty(p);
                if (thisProp != null)
                {
                    currentType = thisProp.PropertyType;
                    currentValue = thisProp.GetValue(currentValue, null);
                }
                else
                {
                    break;
                }
            }

            return (currentValue != null ? currentValue.ToString() : dataItem.ToString());
        }
        else
        {
            //direct property
            PropertyInfo displayProp = dataItem.GetType().GetProperty(DisplayMemberPath);

            if (displayProp != null)
            {
                object propVal = displayProp.GetValue(dataItem, null);
                if (propVal != null)
                    return propVal.ToString();
            }
        }
        //default to return the obejct itself
        return dataItem.ToString();
    }


    private void cmbComboBox_DropDownClosed(object sender, EventArgs e)
    {
            SetComboText();
    }

}

Example Usage:

<my:MultiSelectDropDown DataContext="{Binding MySelectableDataSource, Mode=TwoWay}" DisplayMemberPath="DataItem.Name"></my:MultiSelectDropDown>