If you want to restrict to user for entering the wrong value (other than Chennai, Delhi, Madurai) or highlight that cells in which that wrong value exist then you can simply use the Conditional Formatting.
Dim i As Integer, j As Integer, s As String
Dim lr As Integer
lr = ActiveSheet.UsedRange.Rows.Count
For i = 1 To lr
s = Range("D" & i).Value
If s <> "chennai" And s <> "madhurai" And s <> "delhi" Then
Range("E" & i).Value = s