Very simple but i don't know how to do it. I have seen it on many websites though. I have 2 dropdowns 1 is for country in whcih all countries are listed and other is for states.
If country selected is USA then fill states box with USA's states. If there is some other country selected then just fill the state dropdown with: Other State.
on the onselect event of the country list submit the form. get the country value from Request.post then generate the state list. if you want to do it without submitting then u can use xmlhttp. but u first try the first option that will be simple in the initial state.. (remember u should have the values in database or file from where u will retrieve..). if u need code then reply in the post.