tienes de hacer un form y un submit para pasar las variables
si no no sabe, algo asi:
Código PHP:
<?php
$sSql = "select cve, ciudad from zonas order by cve";
$rsSql = mysql_query($sSql,$db);
echo "<form action='$PHP_SELF' method='post' >";
echo"<select name='zona'>";
while ($arr = mysql_fetch_array($rsSql))
{
echo "<option value='" . $arr['cve'] . "'>" .
$arr['ciudad'] . "</option>";
}
echo "</select>";
echo "<input type='submit' name='Submit' value='Continuar'>";
if($HTTP_POST_VARS){
$zona=$_POST['zona'];
$sSql = "select cveproveedor, nombrecomercial from
proveedores where tipoproveedor = 'H' and substring
(cveproveedor,1,3) = '" . $zona . "' order by cveproveedor";
$rsSql = mysql_query($sSql,$db);
echo"<select name='hotel'>";
while ($arr = mysql_fetch_array($rsSql))
{
echo "<option value='" . $arr['cveproveedor'] . "'>" .
$arr['nombrecomercial'] . "</option>";
}
echo "</select>";
}// if de post_vars
?>
espero que te sirva