Hi,
You missed adding single quotes at the end of SQL Statements.
Use this
SqlCommand cmd = new SqlCommand("Select State,StateID from State where CountryID='" + DDList1.SelectedValue + "", conn);
Instead of this
SqlCommand cmd = new SqlCommand("Select State,StateID from State where CountryID='" + DDList1.SelectedValue + "'", conn);
Its a work around of your error. But you always use parameters in you statements.