How to fetch the data using drop-down list from the database

Question

In my from I hae one drop-down box. If I will select one entry from the drop-down then in another drop-down the data will be retrive automatically on basis of the selected value of previous drop-down box. How is it possible? Somewhat I have idea is I have to pass one query to fetch the data from the database. but where should I have to write that query and how is it possible?
Please let me know.