You'll need a table with at least two fields to serve as the source of value for your conditional value list:
We'll call that table counties and the two fields: State, CountyName.
We'll assume your main table is called "main" and you'll need a state field defined in it as well so that you can use this relationship:
Main::State = Counties::State
Define your value list to list values from CountyName. Select the "include only related values starting from Main" option to make this list a conditional value list. When you select "California" (or CA if you use two letter abbreviations), in the state field, the counties for california will be listed in your conditional value list.
If you've been searching the forum already, you've probably also seen the next two links already. The third link, however, is quite new and you may not have found it:
Forum Tutorial: Custom Value List?