I'm not sure if you can do it from one file to another. I tried and it didn't work, then again I'm not an expert myself.
I do know that you can have the list data on a hidden sheet if you want.
Just create a new sheet, put your data there. Then go to Insert-->Name-->Define and make up a name for your data list and reference it from the sheet you created. Next, while in the cell where you want your list to appear, go to Data-->Validation, select list as the option, and then input "=MyListName" in the reference box... with no quotes of course.
Afterwards, just hide the sheet where your data is and you should be set.