Yes.
You need to have AJAX-enabled website. Web.Config needs a change accordingly.
Easiest would be to create a new AJAX-Enabled website and then copy-paste the web.config from that to your current one.
Make sure, you put Scriptmanager and Updatepanel on your page. (with dropdowns inside updatepanel)
Here[
^], lots of blogs/articles describing converting normal ASP.NET to AJAX based:
Walkthrough: Creating an Ajax-Enabled Web Site[
^]
Converting from ASP.net to Ajax enabled web site[
^]