Yes, I tested the solution before posting it. Okay, let's take it one step at a time.
The code that I gave you is copied only once into the code module for your sheet. Since your shapes are located in Sheet1, we'll copy/paste the code into the code module for Sheet1. So you can right-click the sheet tab for Sheet1, select View Code, and the code module for the sheet will be displayed. Copy/paste the code into this module.
Now we can assign this macro to each shape in Sheet1. So, to assign it to your first shape, right-click the shape, and select Assign Macro. A dialog box will pop-up. For the macro name, enter...
Sheet1.UpdateDropDown
...and then click OK. One thing to keep in mind, though, the reference to Sheet1 here is actually the code name for the sheet. If you haven't changed the code name for the sheet, then it should be the same as your sheet name. If you're not sure, you can go into the Visual Basic Editor, by pressing Alt+F11, select Project Explorer, by pressing Ctrl+R, select/click the sheet that contains your shapes for your workbook, select Properties Window, by pressing F4, and look at Name under properties. If the code name was never changed, it should be the same as the sheet name on the tab itself. If it's different, then you'll need to use whatever name you see there instead of Sheet1 when specifying the macro name in assigning the macro.
Now you can do the same for each of your other shapes.
Does this help?