Try with below code:
<asp:DropDownList ID="DropDownListCountry" runat="server"
Height="27px" Width="107px" DataSourceID="DS_Country"
DataTextField="CountryName" DataValueField="CountryMasterId" AutoPostBack="True">
</asp:DropDownList>
<asp:SqlDataSource ID="DS_Country" runat="server" ConnectionString="Data Source=.;Initial Catalog=Db_ESmart;Integrated Security=True"
ProviderName="System.Data.SqlClient" SelectCommand="SELECT [CountryMasterId], [CountryName] FROM [CountryMaster] where IsDeleted=1 and IsActive=1">
</asp:SqlDataSource>
<asp:DropDownList ID="DropDownListState" runat="server"
Height="20px" Width="110px"
DataSourceID="DS_State" DataTextField="StateName" DataValueField="StateMasterId">
</asp:DropDownList>
<asp:SqlDataSource ID="DS_State" runat="server" ConnectionString="Data Source=.;Initial Catalog=Db_ESmart;Integrated Security=True"
ProviderName="System.Data.SqlClient" SelectCommand="SELECT [StateMasterId], [CountryMasterId], [StateName] FROM [StateMaster]
WHERE ([CountryMasterId] = @CountryMasterId)">
<SelectParameters>
<asp:ControlParameter ControlID="DS_Country" PropertyName="SelectedValue"
Name="CountryMasterId " Type="String" DefaultValue="2" />
</SelectParameters>
</asp:SqlDataSource>
Here it used default value as "2" for parameter. You need to change as per your requirement.