Hi again,
ok, now I think it is clear what you need!
Here is an attached solution (see file).
Short explanation.
I created a data validation for the year (only 2010-2011 allowed).
I created two lists with months in sheet2, and gave them the names "List2010" and "List2011". At the top of sheet2 there is a formula in Cell B1, creating the correct name depending on the selected year. This cell is given the defined name "ValidListName" (otherwise you can't refer to a "valid range" on another worksheet).
At last I entered a data validation for the cell with the selection of month. I choosed "List" and entered "=ValidListName" as reference for valid entries.
I hope this works as you wanted!
Kind regards
Bjorn