How to process dropdownlist control but not send it to the server?

Question

I have two dropdownlist controls. When I choose a item of ddl control first, then the second ddl control will show items corresponding to the first one. E.g when I choose a country in first ddl, then the second one will show citys of this country. I think it is possible if use jQuery. But I don't known to do that. Help ladies and gentlments. Thanks