Here's something to play around with

import java.awt.*;
import java.awt.event.*;
import javax.swing.*;

class Testing extends JFrame implements ItemListener
{
 JComboBox aList, bList;
 String[] aText = {"Britain","France","Italy","USA"};
 String[][] bText = {{"Liverpool","London","Manchester"},{"Calais","Lyons","Paris"},
                     {"Florence","Rome","Venice"},{"Denver","Houston","New York"}};
 public Testing()
 {
   super("JComboBox Test");
   setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
   setSize(200,100);
   setLocation(400,300);
   Container frame = getContentPane();
   frame.setLayout(new FlowLayout());
   aList = new JComboBox(aText);
   aList.addItemListener(this);
   frame.add(aList);
   bList = new JComboBox(bText[0]);
   bList.addItemListener(this);
   frame.add(bList);
   setContentPane(frame);
 }
 public void itemStateChanged(ItemEvent ie)
 {
   if(ie.getSource() == aList)
   {
     bList.removeAllItems();
     int index = aList.getSelectedIndex();
     for(int x = 0; x < bText[index].length; x++) bList.addItem(bText[index][x]);
   }
 }
 public static void main(String[] args){new Testing().setVisible(true);}
}