You have (minimum) 2 options:
1) If you do not need any server side processing after clicking 'Cancel Button', you can use
of the button. That will take you to the previous page and drop-down-list will show the last selected value.
2) Store the selected value of the drop-down-list in a
and assign the same when you come back to the 1st page after some server side processing on 2nd page. Something like:
Session["DropDownSelVal"] = ddlSomething.SelectedValue;
And on retrival,
ddlSomething.SelectedValue = Session["DropDownSelVal"];
Hope this helps!