The dropdown can't hold a hyperlink, but there may be some workarounds.

What version of excel are you using?

And how did you create the dropdown?
via Data|Validation
via a combobox on the control toolbox toolbar
via a dropdown on the forms toolbar

And the options that are shown in the dropdown match the values in the
worksheet?

Urgent wrote:

I have a Excel sheet that is seven to eight pages long... with several
different headings and related Data under each one of them. Is it possible to
hyperlink each heading in the drop down menu without actually changing the
sheets format so that when i select a certain heading in the drop down menu
it takes me directly to that part of the sheet.
Note:- I have already got a place for my Drop down menu other than that i
can't really change my format for the file.

--

Dave Peterson