For custom picklist value load -> you can directly load the data to custom dropdown field, after done the load you need to add picklist items in the custom dropdown field. for example the file have 'Accounting', 'Marketing', you need ot add these 2 values in custom dropdown field.
go through below link on apex loader.
https://na10.salesforce.com/help/pdfs/en/salesforce_data_loader.pdf
For custom picklist value load -> you can directly load the data to custom dropdown field, after done the load you need to add picklist items in the custom dropdown field. for example the file have 'Accounting', 'Marketing', you need ot add these 2 values in custom dropdown field.
Thanks,
Krishna