Pop-up menus in Numbers '09 are a pain. The explaination I provided was for Numbers 3.0. I missed the clues in your earlier posts that you were using Numbers '09.
In Numbers '09 select a cell you want to format as a pop-up, then use the dialog you posted and double click the items the change the name. Use the "+" to add new items. once you have the pop-up set up, copy that cell and paste in the others cells, then change the selection as needed