Edit: Sorry, hadn't seen your last reply.
On the sheet that has the list of values ...
1. Select the list of values.
2. In the Name Box (white box just above the top left of the column labels) type:
myList
and then press Enter.
On the sheet where you want the Data Validation drop-down ...
3. Select the Cell where you want the drop-down.
4. In the Data Validation dialog:
Settings tab|Allow: List|Source: =myList|OK