Yes, there is. Highlight the column you wish to do this to (click on the column letter, "M", for example). Then click on Data - Validation (Data menu inbetween Tools and Window).
When the dialog comes up for Data Validation, in the Allow box, select Custom. Then in the Formula: box, type:
=(COUNTIF(M:M,M1)=1)
Then if you like, you can click on the "Error Alert" tab, and enter a custom message, like "Duplicate entry - please try again."
HTH,
Russell