What you ask for requires some degree of experience or a tool to achieve.
You can do it in two ways:
1. Using Javascript, with embeddd in the page JaVascript. Have a look at
http://www.dbtechnosystems.com/Tips/...drop_downs.php
This is a three level dependent drop down based on a script found (if i recall well) on Dynamic Drive and modified from the original two level.
2. Using Ajax (which is Javascript plus a server side programming language like php or Perl). Have a look at this application i made for a client of mine:
http://www.evansconstructionpages.com/
When you select a State, the counties dropdown is automatically populated, the same for categories and subcategories. This is the best solution if you have too many values (in this case, thousands).
Search the net, there are dropdown creation tools if you have only a few values and you can make it with simple Javascript