How did you create that dropdown?

If you used a combobox from the controls toolbox toolbar, you can do this.

But if you're using Data|Validation or Data|Filter|autofilter or a dropdown from
the Forms toolbar, then it isn't supported.

Debra Dalgleish does share some workarounds for data|Filter|Autofilter:
http://contextures.com/xlautofilter02.html#Limits

Jamie wrote:

I have a large list in excel and i am using a dropdown to select from that
list, I would like to be able to quickly move between the data i.e. use a-z
to bring up data begining with that letter. Any help would be apprecated.

Jamie

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Dave Peterson