Linking Drop Down Lists across Worksheets

Using Office 2003.

I have created two workbooks, one which is a master price list (MasterPriceList.xls) and another which is a pricing sheet template that will be used to calculate many different products (Pricing.xls)

I have used a VLOOKUP across the workbooks (thanks to those who helped me with that) but I cannot get a drop list to work across two worksheets. When I enter the source in the "refers to" box, I get a notice saying that you can't use data validation across two workbooks. However, this was the same error message I got when I was incorrectly inserting the reference source for the VLOOKUP function, so I don't believe it Also, there are several tutorials on the web that say this can be done. However, none of them seem to work for me.

I cannot open the Data Validation box and get to the other open worksheet, so I can highlight the area I want, with the range I want to drop down. Until I close the data validation box, I cannot get out of that sheet. I have used cell ranges as well as named ranges.

When I type in a name, I get only the text I entered in the source reference box appearing on the sheet, i.e., the drop down box will only show "=C:\Documents And Settings\Allen\My Documents, etc" it doesn't seem to recognize it as a source.

Any ideas? I thank you in advance for your suggestions and guidelines.

Allen