Well I am as puzzled as you.
I could also get the error on your very first line of the event.
I added an extra set focus as I have seen a comment that it can lose focus under certain conditions, but that still errors out.
Code:
Private Sub cboFilter_Change()
Me.cboFilter.SetFocus
If Nz(Me.cboFilter.Text) = "" Then
Me.Form.Filter = ""
Me.FilterOn = False
ElseIf Me.cboFilter.ListIndex <> -1 Then
Me.Form.Filter = "[Name] = '" & _
Replace(Me.cboFilter.Text, "'", "''") & "'"
Me.FilterOn = True
Else
Me.Form.Filter = "[Name] Like '*" & _
Replace(Me.cboFilter.Text, "'", "''") & "*'"
Me.FilterOn = True
End If
Me.cboFilter.SetFocus
'DoCmd.GoToControl ("cboFilter")
'Me.cboFilter.SelStart = Len(Me.cboFilter.Text)
End Sub