First you need to create a dynamic name range by going in to "Formulas" Tab in which click on "Name Manager" and insert on "New" button.
Enter the Name for range (I have given the name as TestValue) and then use Following Formula at "Refers To area" as "=OFFSET(Sheet2!$A$1,0,0,COUNTA(Sheet2!$A:$A),1)" without Quotation Mark.
After that go to sheet 1 and add ListBox from ActiveX control. Right click on it go to "View Code".
Erase every thing in it and type the below code.
Private Sub ListBox1_GotFocus()
ListBox1.ListFillRange = "TestValue"
End Sub
That's it. When you click on list box it will populate it.