You could either a) first put your message "Click here" in the cell and then add the data validation, b) Use a separate cell as your header, c) use a always visible comment, d) have the "header message" be included in the drop down options, but listed as the first choice.
If none of the above work, I'm not exactly sure what you were looking for (visually).
Thank you for your comment - I know how to add a list. My questions was how do I default the cell to show the first name in the list?
"3. Type in the source
Click Here, AAA, BBB,CCC"
How do I get it to display 'Click Here' in the cell. In your process it will only show me a drop down arrow and Click here will be part of the list. I want the cell to display click here.