In this exchange
Man 1: We need to do something.
Man 2: What do you want us to do? We can't do anything.
Man 1 uses 'we', so 'us' probably includes Man 2. If Man 1 had used 'You', then maybe 'us' includes the unmentioned Man 3 to man N. Much depends on context.
'What [do] you want I should do?' is stereotypical of New York Jewish speech (possibly derived from a Yiddish speech pattern). I have heard it described as a a calque (loan translation) of the German du willst dass ich soll and of the Yiddish וועלן איך זאָלן/veln ikh zoln.