How can I create a user list hierarchical select exposed filter?
Hierarchical Select for Drupal 7 does not have Views support.  At this point, the HS has not been actively maintained in more than a year so it is unlikely to expect this to be added soon, if at all.  There is an issue on porting the D6 functionality to D7.

If using Simple Hierarchical Select, which only works on taxonomy terms, you can follow the instructions on the module's page:


  
  add a new filter using the field set-up as "Simple hierarchical select" or use "Content: Has taxonomy terms (with depth; Simple
  hierarchical select)" as a new filter
  use "Simple hierarchical select" as selection type
  select "Expose this filter to visitors, to allow them to change it"
  enjoy ;)