I have found solution at https://www.youtube.com/watch?v=dm4z9l26O0I
You would need to use Tools > Script Editor. Create .gs and .html files there. See example at http://goo.gl/LxGXfU (link can be also found under Youtube video). Just copy
Once you have .gs and .html files in place save them and reload your spreadsheet. You will see "Custom menu" as the last item of your top menu. Select cell you would like to manage and click on this menu item.
During the first time it will ask you to authorize application - go ahead and do this.
Note (1): make sure that your cell has "Data validation" defined before you click on "Custom menu".
Note (2): it appeared that solution works with "List from a range" criteria for Data validation (it does not work with "List of items")