If you hold down the shift or control keys, you can select multiple values from a drop down list.
The problem is that some entries in the database belong in multiple categories.
It's possible to set up a conditional value list where a record in the value table is a member of multiple categories. A check box formatted field in the value table can easily be used to assign a given value to multiple categories.
I understand that I can do this by choosing check-box set but because the value list contains about 40 options this is unacceptable because it uses too much 'real estate' on the view.
It's possible to use a portal with a scroll bar for selecting multiple values. Scripting is required and conditional formatting is typically used to show which values have been selected, but it is also possible to format a calculation field to have a check box format that can also show whether or not a given value is selected. Thus, you can get what looks and functions as a check box group with a scroll bar if you choose to make the effort.