An automatic list doesn't exist. Only a button is created. The rest you have to do.
Add the button:
DataGrid1.Columns(0).Button = True
Add a listbox or dropdown list to the form and set its' visible property to false.
In the Button_Click event:
If DataGrid1.Col = 0 Then
'Fill the list with the data you want (you can also do this prior or use a bound list box)
'Then, find the position and height of the current cell:
myList.Left = DataGrid1.Columns(DataGrid1.Col).Left
myList.Left = DataGrid1.Columns(DataGrid1.Col).Left
myList.Top = DataGrid1.Top + DataGrid1.RowTop(DataGrid1.Row) + DataGrid1.RowHeight
'Then set the list width and height to the desired values
'Now make the list visible and set the focus on it:
myList.Visible = True
myList.SetFocus
End If
Now, you need to add code to the myList_Click event to capture the selection and then set the list's Visible property to False again.