depending what you mean:

- Drop down menus in Excel lists: go to online help, search for 'list' choose
'Create an Excel list' or 'Lists I: How to use lists in Excel 2003'

- Drop down list to choose from given options when editing or filling in data in
a worksheet: write in a place in your workbook the values you want the user to
be able to choose from, (later you could hide that row  or column), select the
cell or range where you want to create this dropdown list. goto:
Data>Validation>Settings --> Allow: List
--> Source: choose that range where you have the different options listed. The
functions of the other options on this form are easy to guess. Sorry didn't find
helpfile on this.