I assume you are talking about a switch combo something like what is shown here: http://www.homeadditionplus.com/Elec...bo_Circuit.htm
I also assume you have a white, black, and bare wire for your three wires.
While I don't have a switch like this in hand to review, I would think the way to wire it (based on looking at the front of the device as shown in the picture above), the bare wire goes to the ground screw near the bottom. The black (hot) wire should go to the top left terminal next to the switch. The two terminals on the right should be wired together. The white (neutral) should go to the bottom left terminal next to the receptical. That way, the switch provides switched power to the HOT of the outlet, with the outlet always properly connected to neutral.
The basic idea is to have the hot (black) of the outlet to be supplied from the switch (you want to make sure the neutral isn't switched, because if you do, the setup will still work, but the situation is dangerous because power would still be supplied to the lights/outlet when the switch is off).