use Dynamic Drop Downs
You should have 2 tables:
CountryID - Primarykey
stateID - primary key
stateCountryID - foreign key to country.countryID
for the parent list create a recordset:
SELECT * FROM Country
Set the list to be dynamic. In the dynamic properties for the list, set the value to the CountryID column, and the label to the CountryName column.
Create a recordset for the states:
SELECT * FROM states
The add a Create Dynamic Array server behavior to the page, set the parent ID to the stateCountryID, set the Child ID to the stateID, set the child name to the stateName column.
now, in design view, select the parent list, on the behaviors panel click the plus button and select Dynamic Drop downs -> Populate List From Array
Set the parent list to the country list and the child list to the state list.