Okay I found the answer in a youtube video http://www.youtube.com/watch?v=-x6Vbuo3kUM.
I assume cell A1 contains the value my selection list should depend on and in cell A2 the selection list should appear with list items depended on the value of A1.
Enter the item values of your selection list e.g. on a seperate sheet. Select all cells you want to make dependend on the value of cell A1. In my upper example this would be X,Y and Z on the one hand and K, I and J on the other hand.
If you have selected the the values click in the name box and give them a name for example ‘Values1’ and ‘Values2’.
Select Cell A2 and go to Data->Validation->Allow->Cell Range. In the field source you enter:
If you don’t understand my answer I recommend watching the youtube video.