How to expose Taxonomy term in drupal 7
When you select the filter 'Has taxonomy terms (with depth)' under your 'Filter Criteria' section, make sure you select the correct vocabulary on the first screen of your setup.  There is a section for you to determine which vocabulary's terms you are trying to select from.

On the second screen, make sure you check the 'Expose this filter to visitors, to allow them to change it' checkbox.  It is actually unchecked by default.

It should then show up at the top of your view in the preview window.