There are several ways to do this and the best way depends on (1) what you want to do with the list and (2) whether you want people who have given any donation ever over 500 or you just want the people where their last donation was over 500.
For instructions on how to get donors where the LAST donation was over 500, go here: http://support.blueutopia.com/hc/en-us/articles/360002917511
In this article, we'll show you how to get the donors where ANY donation is over 500.
1. Via Finance Manager
Go to Finances / transactions and search for donations from (in this example) 500 - 5M.
Output: This will give you a simple view of all the donations of between 500 and 5M
Drawback: No ability to take action from the output screen
1. Via Reports
Go to Lists and Reports / New List / New Constituent List
Select 'Contribution History' as the search category
Change 'any amount' to 'at least' and enter 500 in the search box.
Output: This will generate a list with a link to the Take Action page where you perform a number of actions on this list.