address_add.js

function getState_add(countryId)
{
            ajax= nuevoAjax();
            var url="getstate_add.php";
            url=url+"?id="+countryId;
            //alert(url);
            ajax.open ("GET",url, true);
            ajax.onreadystatechange= function()
            {
                if (ajax.readyState == 4)
                    {
                         //alert(ajax.responseText);
                            document.getElementById("getState").innerHTML = ajax.responseText;
                            var val = ajax.responseText;
                    }   
        }
            ajax.send (null);
}

function nuevoAjax()
    {
   
        var xmlhttp=false;
        try
        {
            xmlhttp=new ActiveXObject("Msxml2.XMLHTTP");
        }
        catch(e)
        {
            try
            {
                xmlhttp=new ActiveXObject("Microsoft.XMLHTTP");
            }
            catch(E)
            {
                xmlhttp=false;
            }
        }
        if (!xmlhttp && typeof XMLHttpRequest!='undefined')
        {
            xmlhttp=new XMLHttpRequest();
        }
       
        return xmlhttp;
    }

getState_add.php

<?php

if(isset($_GET['id']))
{
  $iCountryId    =    $_GET['id'];
  $qState        =    mysql_query("select * from states where StateCtrCode= '$iCountryId' order by StateName desc");
 ?>
<select name="ddState" id="ddState" class="just_textfield">
    <?php
    while ($aState        = mysql_fetch_array($qState))
    {?>
        <option value="<?php echo $aState['StateCode'];?>"><?php echo $aState['StateName'];?></option>
    <?php
    }   
    ?>
</select>
 
<?php } ?>


------------------- First Select box -----------
<select name="ddCountry" id="ddCountry" class="just_textfield" onChange="getState_add(this.value)">
    <option value="0" selected="selected">Please select---</option>
    <?php
    $qGetCompanies    = mysql_query("SELECT * FROM countries");
    while ($GetCompanies        = mysql_fetch_array($qGetCompanies))
    {                  
    ?>
    <option value="<?php echo $GetCompanies['ctr_code']; ?>" <? if($GetCompanies['ctr_code'] == "US"){echo ' selected="selected"';}?><?php echo $GetCompanies['ctr_name']; ?></option>
    <?php
    }   
    ?>
    </select>

------------------- Second Select box -----------
    <?php
     $sCountryCode = 'US';
     $sTempState = mysql_query("select * from states where StateCtrCode = '$sCountryCode'");
     ?>
    <select id="ddState" name="ddState" class="just_textfield" >
    <?php
      while ($aTempState        = mysql_fetch_array($sTempState))
     {?>
      <option value="<?php $aTempState['StateCode'];?>"><?=$aTempState['StateName'];?></option>
    <?php }?>
    </select>