Making a list of the items you want to appear in the drop-down, but anyplace in your spreadsheet, is the first step. For example:
Then the next step is to click the "Data Validation" button in the ribbon :
Ok, step 3 is to click "Settings" in the "Data Valid" menu, and choose "List" from the drop-down:
Step 4 is to click on that little blue icon in the "List" sub-menu :
The next step is to simply highlight the Cells you need.
Finished now. Here is the dropdown :