for adding a dropdown in gridview refer:
http://highoncoding.com/Articles/169_DropDownList_Inside_GridView__Method_1_.aspx[
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and for having the the items in the secodd dropdown depending on selection of first dropdown u should use SelectedIndexChanged event of first dropdown, as:
protected void ddlProduct_SelectedIndexChanged(object sender, EventArgs e)
{
int product_id= Convert.ToInt32(ddlProduct.SelectedValue);
ds = belobj.GetDataSet("GetPrice", "PRODUCT_ID=" + product_id);
ddlPrice.DataSource = ds.Tables[0];
ddlPrice.DataBind();
}