As already pointed out, you need to handle the
SelectedIndexChanged[
^] event in the first combo and in that event you fill the second combo. So basically you split your code to two different places.
Also it's important to notice that because you concatenate values directly to your SQL statement, you're vulnerable to different kinds of problems such as SQL injection, data type conversion problems and so on. The proper way is to use parameters as explained in
SqlParameter[
^]