That can be easily done with Javascript. You need to use Client-Side Coding for that then use event triggers where selecting one option will trigger different values to be loaded on the other Drop-Down list.
Jquery can help you if you use the .change() trigger or .click()
http://api.jquery.com/change/
http://api.jquery.com/click/
Of course you need to know Jacascript to do that one.
If it is a particularly long Dropdown, you may combine it with Ajax and load it dynamically using a back-end PHP script that fetches Database data.