Hi,

Here is a sample.
First, define your Visulforce Page with the picklists.
You can see that it uses a custom controller and an event "onchange" on country list to change the content of the states list when you select a country. It looks like this :

<apex:page controller="ctlDepPickLst">
    <apex:form >
        <apex:pageBlock>
            <apex:pageBlockSection columns="2">
                <apex:pageblockSectionItem>
                    <apex:outputLabel value="Country"/>
                </apex:pageblockSectionItem>        
                <apex:pageblockSectionItem>                
                    <apex:selectList size="1" value="{!country}">
                        <apex:selectOptions value="{!countries}"/>
                        <apex:actionSupport event="onchange" reRender="a"/>
                    </apex:selectList>                
                </apex:pageblockSectionItem>
                <apex:pageblockSectionItem>
                    <apex:outputLabel value="State"/>
                </apex:pageblockSectionItem>            
                <apex:pageblockSectionItem>
                    <apex:selectList size="1" value="{!state}" id="a">
                        <apex:selectOptions value="{!states}"/>
                    </apex:selectList>
                </apex:pageblockSectionItem>            
            </apex:pageBlockSection>        
        </apex:pageBlock>
    </apex:form>
</apex:page>

Then define the APEX Class ctlDepPickLst to populates the options depending on the selected country :

public class ctlDepPickLst {
    public String country {get;set;}
    public String state {get;set;}

    public List<SelectOption> getCountries()
    {
        List<SelectOption> options = new List<SelectOption>();
        options.add(new SelectOption('None','--- Select ---'));        
        options.add(new SelectOption('US','United States'));
        options.add(new SelectOption('IN','India'));
        return options;
    } 
    
    public List<SelectOption> getStates()
    {
        List<SelectOption> options = new List<SelectOption>();
        if(country == 'US')
        {       
            options.add(new SelectOption('CO','Colorado'));
            options.add(new SelectOption('NE','Nevada'));
            options.add(new SelectOption('TE','Texas'));
        }
        else if(country == 'IN')
        {       
            options.add(new SelectOption('BI','Bihar'));
            options.add(new SelectOption('KE','Kerala'));
            options.add(new SelectOption('MA','Manipur'));
        }
        else
        {
            options.add(new SelectOption('None','--- Select ---'));
        }      
        return options;
    }       
}

Of course countries and states should come from corresponding objects.
That's all.

Hope this helps.
Fred