The way to do that is to use ActiveX Option buttons that you can insert from the Legacy Controls folder in the Controls section of the Developer tab of the ribbon
Insert one button and then select it and click on the Design Mode and access the Properties dialog and assign a group name to the button.
Then, the simplest thing to do is copy and paste the button as many times as required, as they will all then have the same GroupName (which is what makes them act exclusively), and then you can access the properties dialog for each one to assign a meaningful caption (or delete the caption altogether if that is more appropriate.