Drop down list that narrows as you type

This can be done with a combobox control, which has this feature built in. (You are probably talking about data validation with a list.)

Go to the Developer tab of the ribbon. In the Controls panel, click on Design Mode. Then click Insert. Under ActiveX Controls, click on the combobox icon (pick around, you'll find it). Your cursor will turn to a "+" and you can drag out the combobox wherever you want it on your worksheet.

Right click on the combobox and select Properties. In the Properties list, select ListFillRange and for its value type in the address of the range of cells that will contain the values you want to appear in the combobox.

In the Properties list, select LinkedCell. Type in the address of the cell that you want to contain the value selected by the user in the combobox.

Click on Design Mode again to turn it off, and you're ready to go.

Edit: If you type in P, it won't show you all the values that start with P, just the first one. As you type more letters it will continue to show you the closest match. If you truly need to see an entire list that narrows as you type, then you need a custom VBA solution.