The easiest way to do this is to create the list in cells somewhere on your sheet. Then you use the named range ability to give it a name, let's say for this example ValidList. You give it the name by selecting the list, then go to the Insert menu and choose Name->Define, then enter the name and hit ok.
You then go to the cell in questions (we'll use A1 for this example), select it, then go to the data validation menu. When you choose the list option, enter the following for the Source:
=ValidList
Then having the cell selected you go to conditional formatting, choose the formula option, then enter the following formula, and your desired result:
=ISERROR(MATCH(A1, ValidList, 0)
Note, that the only time this will really help you is if someone does a 'Paste Special' on a forbidden value, since otherwise data validation will catch the error (unless you're still allowing them to enter incorrect data).