try like this
Private Sub ComboBox1_SelectedIndexChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles ComboBox1.SelectedIndexChanged
If ComboBox1.SelectedItem.ToString() = "AP" Then
ComboBox2.Items.Add("Medak")
ComboBox2.Items.Add("Hyd")
Dim cmd As SqlCommand = New SqlCommand()
cmd.Connection = con
cmd.CommandText = "select dist from district where state='"+combobox1.selecteditem.tostring()+"'"
con.Open()
dr = cmd.ExecuteReader()
If (dr.HasRows = True) Then
While (dr.Read())
ComboBox2.Items.Add(dr("dist").ToString())
End While
End If
dr.Close()
con.Close()
End If
End Sub