Welcome to the board!
It will work just as Norie said. In your topic you said "click on a drop down menu in a cell" and that is possibly why Norie choose Data Validation, but knowing Excel most solutions can be done with another solution as well. The drop down window from Data Validation will be displayed only when you have selected that cell (when you click "in a cell") and sometimes you want the drop down to be visual at all times and sometimes you don't.
If you want it visual all the time you can choose View - Toolbar and click on Forms.
Click on Combobox and place the box on desired position in your sheet. (TIP: Hold down Ctrl before you left-click on the box when you want to edit the size.)
Then right-click on the box, choose Format Control and click on the Control tab.
Input Range is the range of data you want your team to select from, or more simply defined: What you will see in the drop down window. Cell link is the cell that will display what the user choose from the drop down.
Hope this helps.
RAM