Often times you won't need to interrogate the dropdown list. You may be able to use methods like SelectItemByText. But I understand that sometimes you do need to interrogate the dropdown - the difficulty is getting the dropdown to stay open.
What I do is open the dropdown list with a method from the Test Methods. Then the dropdown will sometimes stay open and let you interrogate it. You might do something like this:
Open Test Methods on the control that would open the dropdown list
Invoke PerformClick (or whatever method opens the dropdown)
Close test methods
drag bulls-eye to interrogate the control
(if step 4 doesn't work) you can also try finding the control in one of the interrogation tabs (Web Controls, Virtual Controls, Windows) and creating the control from there.