It is called a double combo or linked select.
If the second list has a small amount of options you can use just JavaScript. Look at sites like
http://www.dynamicdrive.com or
http://www.javascriptkit.com for examples of this method.
If it requires a large amount of data, than you either need to submit the form back to the server to get the data or learn about using Ajax to fill in the second list.
Eric