The easy way would be a table with two columns:
City and
Country. Let's call the table
CitiesInCountries.
In the City field, list all of the cities, and in the Country field what country the city belongs to.
Then in the first listbox's Change Event you need a query like this (to populate the second listbox):
Code:
"SELECT Country FROM CitiesInCountries WHERE City = '" & ListBox1.Value & "'"