To do this:
  1. Set up a Character field with a View As of Combo-box and save the field.
  2. Click on the Properties box in the lower right-hand corner. 
  3. Add the choices you want to appear in the drop-down on the Item List line, each separated by a comma with no spaces between.  Since you cannot have the initial entry be blank, add your first choice as Unknown or something similar such as None or the word Blank.  
  4. For example, if you're setting up a field called Favorite Color , the choices in the Item List might be set up like this: Unknown,Blue,Red,Green,Yellow,Orange,Purple   Be sure to add Unknown on the Initial Value line as well.