What kind of value list? Custom Values? Values based on a table?
If custom values, you can copy the values and paste them into a custom values, value list definition in the other file. If the values are based on a table, you can import the table (or just the data in this table).
In either case, you cannot import the actual value list definition. You have to create a new one, then either paste custom values or specify that the values come from your table of imported values.
You do also have the option of specifying that a value list in File #1 use the value list defined in File #2 and that is an occasionally useful alternative.