Data Valication - Drop down list

It sounds like you created a table, and that's all.  When you right click, and select Pick From Drop-down List, Excel automatically provides a list of the values that are entered in the cells immediately above the one you selected, and allows you to pick from those.  In order to accomplish what you are trying to create, you need to select the cells where you want the drop-down list to be available to the users, go to the Data tab, and click on Data Validation, and select Data Validation....  in that window, change the Allow: drop-down to List, and in the Source field, enter =indirect("Table1[Header]"), where table 1 is the name of the table you have your values in, and Header is the name of the column.  If you want the user to be able to type their own response, go to the Error Alert tab, and uncheck the "Show error alert after invalid data is entered" checkbox and then click OK.  You did not provide an example of what you have, so it's difficult to provide more info than that.