Very thorough answer by MacBoero, I've used vlookup myself quite a bit but never played round with the Validate stuff, very interesting and at least I've learnt one new thing today
But to answer WHBM's question as simple as I can, your formula wants to be something like:
=vlookup(cell which contains the airport code you want to look up, the full data range of airports and their codes, the column in that range which contains the data your after, and finally unless the data range is in ascending order put a 0 in here for an exact match)
cell b1 (assuming a1 is where your first airport code is) should end up looking like =vlookup(a1,Sheet1!a1:b30,2,0)
the a1:b30 is just a guess to the size of your data range btw