I was able to reproduce your problem with Excel 2000 but not with Excel 2002
or 2003. So it looks like MS changed their design in later versions.

The only way I know to work around this problem in Excel 2000 is to embed
the list in the data validation directly. That means, instead of
referencing a range in the Data, Validation dialog, place the items in the
list in the dialog in place of the range, separated by commas.

--
Jim Rech
Excel MVP