i can definitely help you with concept but except to me write complete code for you. Here is how you can do it
1. Load the data into first combobox on form load or any other event you like(say click of a button etc).
2.There is a even associated with combobox call
"onSelectedIndexChange". On this even of combobox1 write the code which will pull the data based on selection made in combobox1. your query will look something like this
select column_name from tablename where index_comuln='"+combobox1.text+"'"
and then bound the result to combobox2.
P.S
Do not copy paste this query. This will not work