Well, you need to have Cascading Dropdown in place and then based on the dropdown values a filter on Grid data.
It's not clear on if it's a winforms or web.
For ASP.NET, have a look at these:
Implementing Cascading DropDownList in ASP.NET GridView[
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Ajax Cascading DropDownList With Database Example in GridView[
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For winforms, Google/CodeProjectSearch for Cascading dropdown. That would give you first part. For filtering, at time of dropdown change you need to filter the data (dataview probably!) and then use that as source for your grid.