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It depends on what you mean by a footnote. If you mean being able to automatically insert a superscript number or other character within text in a cell and then have a textbox automatically open in which you type your footnote text which Excel then automatically places at the bottom of the current page, no, Excel has no built-in ability to do this. This capability could be nearly duplicated via a VBA macro however.
On the other hand, it is easy to insert a "footnote" manually, i.e., add a superscripted number to a cell's text, and add what appears to be a footnote to a cell at the bottom of the page. You will have to manually ensure that the footnote numbering is consecutive. To get the superscript, just select (highlight) the specific number or text in the formula bar, then go to Format -> Cells, and on the Font tab under Effects check the Superscipt checkbox.
To determine where the bottom of the page is so you can position the footnotes there, go to View -> Page Break Preview.
In this case, use the drawing menu to create a text box (with no lines) that has the desired superscript number in an appropriately sized font. Position the text box where you want it and it will appear to be a footnote...yet, the underlying number will retain all of its formatting and be usable for calculations.
I'm emailing you a workbook containing an example of what I mean. This is easier than trying to explain it with words.
"A workbook is worth a thousand words" -- Anon.