You have two options, depending what you want to do. The easy one is to select the range where you want the drop down to appear, and then click Data - Validation, Select "List" from the first Drop Down, make sure that "enable list" is enabled and then in the "Origin", type the options you want separated by commas, like this:
Option1,Option2,Option3,etc.
And you are ready to go...
Juan Pablo