<p>I want to filter two list with any fastest method in python script. I have used the built-in <code>filter()</code> method for this purpose. but it is quite slow and taking too much time because I have very big list, I think more than 5 million item in each list or may be more. 
I do not know how I will make it. Please if anybody have idea or write small function for it. </p>

I guess filter() is as fast as you can possibly get without having to code the filtering function in C (and in that case, you better code the whole filtering process in C).
Why don't you paste the function you are filtering on? That might lead to easier optimizations.
Read
this
about optimization in Python. And
this
about the Python/C API.