...maybe Data Validation - Input Messages?
Don't know how you would reference in VBA if it's those though
Sub Validation_by_VBA()
Range("A2").Select
With Selection.Validation
.Delete
.Add Type:=xlValidateList, AlertStyle:=xlValidAlertStop, Operator:= _
xlBetween, Formula1:="value1;value2;value3"
.IgnoreBlank = True
.InCellDropdown = True
.InputTitle = ""
.ErrorTitle = ""
[COLOR=red].InputMessage = ""
[/COLOR].ErrorMessage = ""
.ShowInput = True
.ShowError = True
End With
End Sub