You are trying to have
Cascading dropdown. Now, since you have just tagged it as C#, we assume you want this in Winforms and not in ASP.NET. (Even though you use dropddownlist word!)
Steps,
1. Bind your dropdown1 to datatable fetched from DB.
Ex:
SELECT StateID, StateName FROM MstStates
2. Have dropdown change event defined for dropdown1
3. In this selectedindexchange event, get the selected state ID and use this as a filter for getting data for dropdown 2
Ex:
SELECT CityID, CityName FROM MstCity WHERE RelatedStateID = 5
4. Bind this query data to your dropdown2
This will bind the two drodowns with two SQL tables and also have the filter dependent criteria you want.