fill in your data in any range. for instance: type a, b,c ,d.... in A1 to A10.
goto view menu and select forms. The forms toolbox will appear...
click the combo box icon and fix it to your desired size on the sheet.
Right click on the combo box and select format control. select Control tab and in the input range field, select range A1:A10. You can also set as to how many items should appear in the drop down list by specifying it in the drop down lines field. Also enable 3-D shading though it is not mandatory. It will change the appearance of the drop down list.
Hope this helps.