Data Validation with VBA

The code below is to demonstrate how to fill a Validation listbox using VBA:

Sub Macro1()
Dim ArrayOfValues()
Dim ListOfValues As String

For x = 0 To 5
    ReDim Preserve ArrayOfValues(x)
    ArrayOfValues(x) = "Test" & x
Next x

ListOfValues = Join(ArrayOfValues, ",")

    With Selection.Validation
        .Delete
        .Add Type:=xlValidateList, AlertStyle:=xlValidAlertStop, Operator:=xlBetween, Formula1:=ListOfValues
        .IgnoreBlank = True
        .InCellDropdown = True
        .ShowInput = True
        .ShowError = True
    End With
End Sub

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This should get you going in the right direction.

I would suggest that you do not use the '*' (star) to retrive all records for the list as it is better practice to retrive just the field you need.
The use of DISTINCT after the word SELECT may help as may an ORDER BY.
This would be to get the returned recordset into a suitable condition.

sSQL = sSQL & "SELECT DISTINCT 'nombre completo'"
sSQL = sSQL & vbCrLf
sSQL = sSQL & "FROM EMPLEADOS"
sSQL = sSQL & vbCrLf
sSQL = sSQL & "GROUP BY 'nombre completo'"

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You could then just use a simple :
ArrayOfValues = rs.GetRows
ListOfValues = Join(ArrayOfValues, ",")
or just:
ListOfValues = Join(rs.GetRows, ",")
This would replace the loop to fill the array.

If you need furtur guidance feel free to say.
but hopefully this will get you on the right track.
Example.xlsm