The most basic way you can do this in SelectedIndexChanged events of DropDownLists. Check this code..
<asp:DropDownList ID="DropDownList1" runat="server" onselectedindexchanged="DropDownList1_SelectedIndexChanged" Width="224px"
AutoPostBack="True" AppendDataBoundItems="true">
<asp:DropDownList ID="DropDownList2" runat="server"
onselectedindexchanged="DropDownList2_SelectedIndexChanged">
</asp:DropDownList>
protected void DropDownList1_SelectedIndexChanged(object sender, EventArgs e)
{
//Load DropDownList2
}
protected void DropDownList2_SelectedIndexChanged(object sender, EventArgs e)
{
//Load DropDownList3
}