There are 3 types of dropdowns that you can use on a worksheet.
1. Data|Validation (Like Jon Jon) suggested. (See Debra Dalgleish's notes at:
http://www.contextures.com/xlDataVal01.html for lots more info.)
2. Dropdowns from the Forms toolbar. Rightclick on it and you'll see how to
change a lot of its properties under "Format Control".
3. Comboboxes from the control toolbox toolbar. Rightclick on it and you can
see some stuff under "format control", but there's lots more under "properties".
If you're not sure which type you're looking at:
If the dropdown arrow shows up as soon as you select the cell, it's probably
data|validation.
If you rightclick on it and see "assign macro", you're looking at a dropdown
from the Forms toolbar.
If you rightclick on it and don't see "assign macro", you're looking at a
combobox from the Controltoobox toolbar. (You'll see Properties here, too.)