This needs a slightly more elaborate answer.
Typically you can go like this.
Let's say Countries are stored in a list and used in the first dropdown and States for a country is typically got from a filtered list (that gives States for a country) and this is to be used in the second dropdown. Country dropdown will have the value of the country field and the State dropdown will have the value of the state field.
Implement the onChanged event for the first dropdown that will take the current value in Countries and then build out the list for the State dropdown based on Country selected.
Hope you get the idea.