Simple In side the Combobox1 fire event you just call a fill method which will retrive data from db and bind in Combobox2.
In Combobox1 do AutoPostBack="True"
like Ex:-
protected void Combobox1_SelectedIndexChanged(object sender, EventArgs e)
{
FillMethod(Combobox1.SelectedValue);
}
public void FillMethod(int CategoryId)
{
//Fetch data from db where id=CategoryId
//Bind data into Combobox2
}