This involves using a couple of techniques together.  First, the record
source for the report.  I assume you are probably using a query for the
record source that filters on the value in the combo box.  If this is the
case, remove the filtering at the query level, we will do it at the form
level.

Now, we need to use the "Adding All to a Combo Box" technique.  Since I
don't know the structure of your client table or your combo box, I can't give
an exact answer, but for example purposes, I will assume your combo has two
columns, one for the ClientID which would be an autonumber primary key and
one for ClientName that the user actually sees and your combo's row source
query is something like:
SELECT ClientID, ClientName FROM tblClient ORDER BY ClientName;

So, change it to:
SELECT 0 AS ClientID, "(All)" AS ClientName FROM tblClient UNION SELECT
ClientID, ClientName FROM tblClient ORDER BY ClientName;

Now the user will see (All) as an option in the combo list.  The next thing
to do is use the OpenReport method to open the report for a selected client
or all clients depending on whether the user selects (All).  That you do
where you open the report.  I assume it is in the Click event of a command
button.  This would be an example for that:

Dim strWhere As String

   If Me.cboSelectClient = 0 Then
       strWhere = vbNullString
   Else
       strWhere = "[ClientID = " & Me.cboSelectClient
   End IF

   Docmd.OpenReport "ReportName", , , strWhere