dont know why nobodyhas replied....
anyway:

Seeing as you want to use php to populate these options from the database, you would unfortunatly ave to refresh, unless you used javascript to store all the options for the second box, which isnt to smart, as you can switch javascript off.

the way i would go about it is in the first dropdown, use the value to send the data and get the options for the second box....

<option value="countrys">Countrys</option>

then use sql to select all from the database that is under countrys, then loop the options for the next drop down...if that made sense.
unfortunatly there is no easy way of doing this dynamicly...