This is more of an asp.net question.
if your countries are listed in a table called tblCountries, with 2 columns: ID and CountryName
and your States are in another table called tblStates with 3 columns: ID, CountryID and State
Your first dropdownlist's Data source should just be "Select * from tblCountries order by CountryName"
Your second DDL's Data source should be "Select * from tblStates where countryID=@CountryID order by State"
By putting @CountryID in there, we have created a Parameter.
When you enter this Select statement in your datasource, (provided you are using the data source wizard) it will then ask you for the source of the parameter - in this case, you will select that you want the value to come from a control, and then select the first drop down list.
Then, make sure that the first drop down list is set to auto post back, and you are there.