These are called conditional value lists. Here's a knowledge base artical to get you started. If you encounter trouble applying what the article describes, feel free to post back here with your questions:
Thank you for your answer. With the information provided, I was able to make it work.
But here is a follow-up question: is there a way to add two option in the second menu (Item in the example provided) that would say <None> and <Add>?
You could certainly create records in the value table with those values. Then a script trigger attached to the field could check for those values and process them accordingly. (Go to a field or portal of such values where the user can add a value, for example.)
Thank you for your help.