Open InfoPath 2010 form.
Go To : Start -> All Programs -> Microsoft Office -> Microsoft SharePoint Designer 2010.
Click on the New tab on the left hand side -> SharePoint form Library -> Design this form ( as mentioned in the below figure 1, options are marked in the red circle)

figure 1
The New form will look like:

figure 2
Add two drop-down list (in this example I am taking for Countries and States), and give the label name. Please see the below figure 3 for doing the same.

figure 3
After the adding the drop-down lists and the label names accordingly the form will look like:

figure 4
To change the drop-down name : Right click on the drop-down list, click on the Properties of the drop-down. Next window will be like as figure 5. Change the drop-down name in the red circle marked place.

figure 5
Go To Data tab, mentioned in the figure marked in the red circle

figure 6
Click on the Data Connection, mentioned in the figure 7 marked in the red circle

figure 7
Click on the Add for the adding the new data connection for the drop-down list, given in the below figure.

figure 8
We have to bind drop-down from the SharePoint list, so select the checkbox of the Receive Data and Click Next. marked in the red circle in figure 9

figure 9
Select the Data Source from where we have to fetch the data, mentioned in the figure 10

figure 10
Now enter the SharePoint site URL where you created the lists of Countries and States, and then click Next

figure 11
Now Select the List Name from where you have to retreive the data ( here i am selecting the Country List )
figure 12
Next screen will be to select the attributes of the Country List e.g. CountryName, ID and click Next
another Screen will be like as figure 13
figure 13
Now Write the Name of the data connection, and Click on Finish.
Click on the Close Button as mentioned in the figure 15
figure 15
Now, Right Click on the Country drop-down list to set the data source, as mentioned in the below figure marked in the red circle.
figure 16
In the above figure 16 you have noticed one thing that both Value and Display Name attributes have the same value called Title, so in the Value attributes it should be the ID of the Country, so for this click on the button (marked as green in the above figure 16). and follow with the figure 17
figure 17
Now we have completed the procedure for the Country drop-down list, lets check the behaviour that we have implemented. Click on the Home tab given on the ribbon, and then Click on the Preview button in the right hand side, marked in the red circle.
figure 18
The Output screen will look like:
figure 19
Now our next step on Selection Change the States should be bind accordingly . So do the same steps as given from figure 5 to figure 11. After that Select the Name of the Second List (over here its States) then Select the attributes for the State drop-down list, remember one thing over here we have to bind the State drop-down according the country name, so its necessary to select the attribute of the Country that should be the Primary Key. as mentioned in the below figure 20 marked in the red circle.
Give the name of the Data connection for the State drop-down list.
Give the connection name of the State drop-down list that we have made it. as mentioned in the below figure marked in the red circle
figure 22
Now we have to set the filter on the state drop-down list. click on the button (marked as green) as mentioned in the above figure 22 . and follow the steps from figure 23 to figure 27.
figure 23
figure 25
figure 26
figure 27
Click on the Home tab and then Preview as mentioned in the red circle in the below figure
figure 28
See the Output
figure 29

















