Meu código:

*. aspx:

<asp:DropDownList ID="CountryList" CssClass="CountryList" runat="server" 
           OnSelectedIndexChanged="CountryList_SelectedIndexChanged" />

*. aspx.cs:

protected void Page_Load(object sender, EventArgs e)
{
   CountryList.SelectedIndexChanged += 
                          new EventHandler(CountryList_SelectedIndexChanged);
   ...  
}

protected void CountryList_SelectedIndexChanged(object sender, EventArgs e)
{
   LoadCityList(CountryList, CityList);
}

Mas isso não funciona.