If the drop down is a custom value list and not the values of a field its entirely possible that no data exists with the particular drop down value.
You can perform multiple finds together by adding new find request before you perform the find. It does kind of go against intuition but it simply adds another find request in addition to the previous one.
I'm guessing this is what you need to do here...
Enter find mode.
Select "Mrs." from the value list.
Select New Request from the Requests menu
Select "Mr." from the value list.
Perform the find
You'll now have a found set of all records with either "Mrs." or "Mr." in this field.
Thanks to both you, PhilModJunk, and aammondd for your swift replies.
Your answers were helpful and worryingly easy. A classic RTM problem (Read The Manual).