No clue how to do a Lookup Coloumn

I must be missing something here: how in the world do I make a field show a CHOICE of let's say THREE possibilities?

I assume it must be a LOOKUP COLUMN?

When I try to add a LOOKUP COLUMN, it won't work, since I can only choose NONE from the file dialogue.

It would be better I think if you could define the field as e.g. a CHOICE field (I don't know another word for it).

Thanks,