According to the post at
http://forum.tracerplus.com/index.php?threads/questions-dropdowns-and-connect-filtering.103/ it's not possible inside the app now but may be in future versions.
If the information is available on a desktop, you can save the appropriate values into S##F##_auto.txt which will be automatically imported into the matching dropdown. I don't use Connect, but if you do you should also be able to sync the data that way.
If the shipment numbers are being added on the handheld and you want them available without syncing, you'll have to use a live grid and bind the column to a field control. The field change event for that field will let you trigger other displays.
For example, make a second session with a live grid that displays shipment numbers from your source session. Bind that column to a field (set the direction to ToControl) so that when you select an entry on the grid, the value of that entry populates the field. That field can be set as a filter criteria for another grid. In my experience it sometimes requires a refresh of the second grid before the right data is displayed, done by one of three methods - Tapping one of the page arrows on the grid, making a refresh button for the grid, or using a rule that runs on FieldValueChanged to refresh the grid control. I've had issues doing this with a race condition that caused me to refresh multiple times before the new data was displayed.
I suppose you could also export just the shipment number then do an import custom (I think), or exit TracerPlus to move and rename the file then start TracerPlus making it import the data to the dropdown. I'm just thinking out loud now.