Silly me. I wasn't adding the right control from the
toolbox. You have to add a combo box, then set the
property to Value, then type in the list items in the next
field. Separate them with semicolons.

If you want to set up a choice list where you can allow
the user to select "all that apply", drag in a List box,
bind it to Categories, then put the choices that are
permitted the same way as above. It works pretty well, but
not if you want to sort by each of the choices in the
custom folder view. That would require each choice to be a
check box, which would then show a Yes or No in the folder
view.

Hope it helps.