Aqui esta la solucion yo lo utilice para un super sistema que tengo y espero que te ayude, cualquier info o consulta puedes escribirme a
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<asp:TemplateColumn HeaderText="COUNTRY | STATE">
						<ItemTemplate>
							<asp:DropDownList Runat="server" ID="country" CssClass="letras" AutoPostBack="True" OnSelectedIndexChanged="DropDown_SelectedIndexChan  ged" />
						</ItemTemplate>
					</asp:TemplateColumn>   
    Public Sub DropDown_SelectedIndexChanged(ByVal sender As Object, ByVal e As EventArgs)
        Dim combo As DropDownList = CType(sender, DropDownList)
        Dim cell As TableCell = CType(combo.Parent, TableCell)
        Dim item As DataGridItem = CType(cell.Parent, DataGridItem) 
        If combo.ID = "country" Then
            Dim ccity As DropDownList = CType(item.FindControl("city"), DropDownList)
            Dim tcode As TextBox = CType(item.FindControl("code"), TextBox)
            Dim pais As String = combo.SelectedItem.Value 
            tcode.Text = "" 
            DDCity(pais, ccity)
        ElseIf combo.ID = "city" Then
            Dim tCode As TextBox = CType(item.FindControl("code"), TextBox)
            tCode.Text = combo.SelectedItem.Value
        End If
    End Sub