Since you are using SqlCommand, when index changes do:
int i = combo1.getSelectedIndex;
if(i>=0)
{
}
Another, easier way is to create a DataSet and TableAdapter and bind the data to the comboboxes. You can do yourself or add a dataset to your project and add tables from your database. After building the dataset and adapters will be available to you in toolbox when in form designer.
From there you bind combo1 to one table and field and the second using the foreign key or a query which you create in dataset designer. Then any changes in combo1 will automatically update combo2.