I do this by surrounding both controls with an update panel.  Each control needs a data source which points back to your city and state tables.  The city data source will have the stateid as the select parameter (from a controlid) When the user selects a STATE, the SELECTEDINDEX CHANGED event will fire, inside this event code, you can rebind the city data source. 

can you please upload a code snippet to illustrate?  Thanks.

Protected Sub ddlCountry_SelectedIndexChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles ddlCountry.SelectedIndexChanged
        ddlCity.Items.Clear()
        SqlDataSourceCity.SelectCommand = "SELECT [City] FROM [Cities] where [Country] = '" & ddlCountry.SelectedValue & "'"
        ddlCity.DataBind()
End Sub