You could have a db with 2 tables - one is countries, the other is cities.
In the cities table - have a column 'country' that references the countries table.
On your web page, pull countries from the db, and cities for that country to populate your 2 drop down menu's
Using javascript - onChange the country selector - reload the page with the value of the country sent in a query.
It should be really easy to do it - assuming you have some asp / sql /
js knowledge.