The problem is you are filling your 1st drop-down list in form load and every time some event happens it loads the form i guess u have not kept update panel so again it fills your first drop down and causes selected index changed event to fire which makes your dropdown2 selected index 0 again and again.
so my suggestion is you keep filling of your first drop down as following in form load
if(!IsPostback) then
end if
i guess it helps you