I like to DM D&D 4e and recently acquired Open Grave, a rules supplement on undead. But there are no rituals for creating combat-capable undead (they are all listed as "non-combatants"). Is there a different book with a ritual that creates combat-capable undead, or can my players not create combat-capable undead?
No, there are no player-available rituals to do this in any supplement that I know of, even the Book of Vile Darkness.
However, as for your second question (Or can my players not create combat-capable undead), the Shadow Done Right 4th Edition supplements (http://shadow4e.wikidot.com/) contain a Necromancer class and at least one ritual concerning raising the undead.
Open grave was designed more as a GM expansion than a player expansion. Summoning extra creatures for PC to use has (and will likely always be) a source of contention. Rather than feed the fires of the "overpowered" clan the designers simply sidestepped the issue. If you look at RAW than nope- no can do, they are essentially undead pack mules. That doesn't mean you can't come up with a ritual and cost and add it, but I would almost certainly turn the request for an undead sword sponge into another opportunity for Murphy to rear his undead grinning skull...
GM: Well, that was a tough battle, but it looks like with Zombie Steve's help, you have defeated the bandits.
Zanzibar the Necromancer: Fear the wrath of Zanzibar!
GM: Can I have Steve's character sheet: he's gained a level.
Player: Sure! Hey, can I pick his skills, I'd like him to have Unstoppable.
GM: Fantastic! Roll 2d6, then everyone roll a d20.
Player: Uh, sure. What's the d20 for?
GM: It seems that with power comes responsibility: Steve has decided that since he's taking most of the risk, he really doesn't need the middle man anymore. You also notice that Steve is carrying a longsword.
Player: Zombies don't use weapons!
GM: Use them in battle enough and it looks like they are not completely untrainable, if you and the group survive think of the missives you'll write.