Yes, it's possible, kind of.
Right click your sheet tab, take "View Code" for the sheet, that should
take you to events for the sheet. You want Worksheet: Selection
Change. You'll need to get the Address and column of the selection.
You'll need to validate so that if it's the column you're concerned
about(Warning: Sometimes you can get unexpected results from a multiple
selection, but for the most part it works OK.) it will trigger macro
actions. Such as:
You'll need to create a User Form in the Visual Basic Editor. When
it's triggered(by your If statement above) it will need to have a list
box....and you need to load that list box with values. Then when the
user makes a selection and clicks enter, you will load the selection
into the cell (whose address you captured above).
It seems like a simple thing when it's all built, but it's a lot of
pieces.
My advice is that this is a good way to start learning, just work on
one piece at a time, and when they're all connected up together and
working, you'll feel great!!

Alan