How do you create a Drop Down List in a cell?

I've messed around with right click and "Create List" but just can't seem to get it right.

I have a column labled "instrument" at the top. In that column, I'd like a drop down list for every row. The drop down list contains 4 items:

Euro
GBP
JPY
CHF

How do I go about making this list as it's just not happening for me at the moment?

Thanks

I just did that but the result is a tooltip with the currencies listed, rather than an actual drop down list.

I'm using Office 2003.

Sorry, my mistake, I didn't select List first,

Thanks

OK, How do I make the first item as blank? So you only see a drop down loist when you click in the cell?

Thanks for that