I think you have a tables like country_table, state_Table & city_table right...?
In your table you have a PK col is country_id, and you have a relation with state_table also, similarlly in city table also...
in your STATE DropDownList selected index changed event you write this query
SELECT STATE_Id,STATE_name,CITY_Id FROM STATE_TABLE WHERE COUNTRY_ID=DDLCOUNTRY.SELECTEDVALUE
IN your city dropdownlist selected index changed event you write the query simillar to state...
in your state detail's you must pass the country id, and in your city details you must pass the state_id...
Then fetch the information and assigned into DDL
Note: I'm given some sample information only not exact information