Here are some pictures:
Here you can see all forms and Tables:

Here You can see the MAIN form:

Here I enter data which is not in thelist, so PopUp dialog occurs( NOTE THE NAME I HAVE ENTERED) :

Here you can see the dialog form to enter the details of the new record:
Look how it represents the Last name?

Finally if I click on "SAVE AND CLOSE" what I get is a Blank combo instead of the record:

Maybe someone will get an Idea of what I want to achieve.. 
Here is code on second form OnLoad event:
Code:
If Not IsNull(OpenArgs) Then
DoCmd.GoToRecord acDataForm, "Patients", acNewRec
Me.LastName = Left(OpenArgs, Len(OpenArgs) - (InStr(OpenArgs, " ") + 1))
Me.FirstName = Right(OpenArgs, Len(OpenArgs) - (InStr(OpenArgs, " ")))
End If
It kind of works, but it sometimes messes up the LastName value, as you can see in one of the pictures I provided...Need a fix for that.
The NotInList code looks like working properly at the momnet!
Code:
Private Sub PatientLook_NotInList(NewData As String, Response As Integer)
On Error GoTo Err_PatientLook_NotInList
Dim intAnswer As Integer
intAnswer = MsgBox("Would you like to add this value to the list?", vbYesNo, vbQuestion)
If intAnswer = vbYes Then
DoCmd.RunCommand acCmdUndo
DoCmd.OpenForm "Patients", , , , acFormAdd, acDialog, NewData
Me![PatientLook].Requery
Response = acDataErrAdded
Else
Response = acDataErrContinue
End If
Exit_PatientLook_NotInList:
Exit Sub
Err_PatientLook_NotInList:
MsgBox Err.Description
Resume Exit_PatientLook_NotInList
End Sub
Now how to make the value of the combo box stay the same I entered? You can see in the last picture - its gone.