We report on a high pressure cell to use with small angle neutron scattering (SANS) in a pressure range up to 500 MPa. The cell offers the new possibility to investigate liquid samples by a specially designed sample chamber, which allows changing of samples relatively easily. Since the cell construction uses sapphire as window material, also light scattering investigations can be performed simultaneously to the SANS measurements. In this article we describe the construction of a high pressure cell and we demonstrate the applicability of the construction for SANS in combination with dynamic light scattering showing data on the biological molecule lysozyme.