private void lookUpEdit1_ProcessNewValue(object sender, ProcessNewValueEventArgs e) {
    if (MessageBox.Show(this, "Add the '" + e.DisplayValue.ToString() + 
      "' entry to the list?", 
      "Confirm", MessageBoxButtons.YesNo) == DialogResult.Yes) {
        (lookUpEdit1.Properties.DataSource as ContactList).Add(
          new Contact(e.DisplayValue.ToString()));
        e.Handled = true;
    }
}

public class Contact {
    private string name;
    public Contact(string _name) {
        name = _name;
    }

public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();
        }

        DataTable dt;

        private void Form1_Load(object sender, EventArgs e)
        {
            dt = new DataTable();
            dt.Columns.Add("Test", typeof(string));

            DataRow dr = dt.NewRow();
            dr[0] = "Hello,World";
            dt.Rows.Add(dr);

            lookUpEdit1.Properties.DataSource = dt;
        }

        private void lookUpEdit1_ProcessNewValue(object sender, DevExpress.XtraEditors.Controls.ProcessNewValueEventArgs e)
        {
            if (MessageBox.Show(this, "Add the '" + e.DisplayValue.ToString() + "' entry to the list?", "Confirm", MessageBoxButtons.YesNo) == DialogResult.Yes)
            {
                //(lookUpEdit1.Properties.DataSource as ContactList).Add(new Contact(e.DisplayValue.ToString()));
                DataRow dr = dt.NewRow();
                dr[0] = e.DisplayValue.ToString();
                (lookUpEdit1.Properties.DataSource as DataTable).Rows.Add(dr);
                e.Handled = true;
            }

        }
    }