With dropdown list are you refer to Data Validation List? I.e.:

When you define Data Validation List for cell/range (from menu: Data>Data Validation, and then selecting List for Allow field and enter the comma separated list of allowed values, or a reference formula to range on same sheet or to a any Named Range, into Source field), on Error Alert tab you can use Style field to determine how the cell/range reacts on entries not in defined Data Validation List. The default value is Stop, which blocks any entries not in list. Selecting Warning or Information instead do allow such entries. For any of those selections, you can define what error message is displayed when a value not in list is entered, and a title for this error message.