First you need to create a value list. Go to Manage / Value lists then click the new button. From there are options depending on how you want to make that list, defining set values or using values from a field in your database or from a different database.
Once you have created a list you can use it on a field by going to layout mode, selecting the field and changing it from edit box to drop down or pop-up then picking your value list in the "show values from" box.
And they come in two versions: Pop up Menus and Drop down lists. They behave a bit differently and have a different default look (can be changed).