Well, your specifications are quite vague. What languages are involved? What environment are you operating within? Is this a Windows Forms application? Is this a ASP.NET application? Is this a WPF item? I can think of at least a dozen possible environments which bear on your solution.
Conceptually you populate combo box #1. You then wire up an event to populate combo box #2 upon change in selection of the contents of Combo box #1. The same logic can then be extended to the third control and so forth.
Obviously your choice of tools bears into how you implement your solution. Certain vendors provide controls with cascading events designed to handle "related" controls (such as Telerik for example). Heck with the right vendor you could be 100% code free.
Have you tried google for your solution? (Give up on Bing).