Hi fahimahmed,

I have created a sample please take its reference.

Database

For this example I have used of Northwind database that you can download using the link given below.

Download Northwind Database

HTML

<asp:DropDownList runat="server" ID="ddlCountry" AutoPostBack="true" OnSelectedIndexChanged="SelectedCountry">
</asp:DropDownList><br /><br />
<asp:GridView runat="server" ID="gvCustomers" AutoGenerateColumns="false">
    <Columns>
        <asp:BoundField DataField="CustomerID" HeaderText="ID" />
        <asp:BoundField DataField="ContactName" HeaderText="Name" />
        <asp:BoundField DataField="City" HeaderText="City" />
        <asp:BoundField DataField="Country" HeaderText="Country" />
    </Columns>
</asp:GridView>

Namespaces

C#

using System.Configuration;
using System.Data;
using System.Data.SqlClient;

VB.Net

Imports System.Configuration
Imports System.Data
Imports System.Data.SqlClient

Code

C#

protected void Page_Load(object sender, EventArgs e)
{
    if (!this.IsPostBack)
    {
        this.BindCountry();
        this.BindCustomers();
    }
}

private void BindCountry()
{
    using (SqlConnection con = new SqlConnection(ConfigurationManager.ConnectionStrings["constr"].ConnectionString))
    {
        using (SqlCommand cmd = new SqlCommand("SELECT DISTINCT Country FROM Customers WHERE Country IS NOT NULL", con))
        {
            cmd.CommandType = CommandType.Text;
            using (SqlDataAdapter sda = new SqlDataAdapter())
            {
                sda.SelectCommand = cmd;
                DataTable dt = new DataTable();
                sda.Fill(dt);
                this.ddlCountry.DataValueField = "Country";
                this.ddlCountry.DataTextField = "Country";
                this.ddlCountry.DataSource = dt;
                this.ddlCountry.DataBind();
                this.ddlCountry.Items.Insert(0, new ListItem("ALL", ""));
            }
        }
    }
}

private void BindCustomers()
{
    string country = ddlCountry.SelectedValue;
    using (SqlConnection con = new SqlConnection(ConfigurationManager.ConnectionStrings["constr"].ConnectionString))
    {
        using (SqlCommand cmd = new SqlCommand("SELECT CustomerID, ContactName,City,Country FROM Customers WHERE Country=@Country OR @Country IS NULL", con))
        {
            cmd.CommandType = CommandType.Text;
            if (!string.IsNullOrEmpty(country))
            {
                cmd.Parameters.AddWithValue("@Country", country);
            }
            else
            {
                cmd.Parameters.AddWithValue("@Country", (object)DBNull.Value);
            }
            con.Open();
            this.gvCustomers.DataSource = cmd.ExecuteReader();
            this.gvCustomers.DataBind();
            con.Close();
        }
    }
}

protected void SelectedCountry(object sender, EventArgs e)
{
    this.BindCustomers();
}

VB.Net

Protected Sub Page_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    If Not Me.IsPostBack Then
        Me.BindCountry()
        Me.BindCustomers()
    End If
End Sub

Private Sub BindCountry()
    Using con As SqlConnection = New SqlConnection(ConfigurationManager.ConnectionStrings("constr").ConnectionString)
        Using cmd As SqlCommand = New SqlCommand("SELECT DISTINCT Country FROM Customers WHERE Country IS NOT NULL", con)
            cmd.CommandType = CommandType.Text
            Using sda As SqlDataAdapter = New SqlDataAdapter()
                sda.SelectCommand = cmd
                Dim dt As DataTable = New DataTable()
                sda.Fill(dt)
                Me.ddlCountry.DataValueField = "Country"
                Me.ddlCountry.DataTextField = "Country"
                Me.ddlCountry.DataSource = dt
                Me.ddlCountry.DataBind()
                Me.ddlCountry.Items.Insert(0, New ListItem("ALL", ""))
            End Using
        End Using
    End Using
End Sub

Private Sub BindCustomers()
    Dim country As String = ddlCountry.SelectedValue
    Using con As SqlConnection = New SqlConnection(ConfigurationManager.ConnectionStrings("constr").ConnectionString)
        Using cmd As SqlCommand = New SqlCommand("SELECT CustomerID, ContactName,City,Country FROM Customers WHERE Country=@Country OR @Country IS NULL", con)
            cmd.CommandType = CommandType.Text
            If Not String.IsNullOrEmpty(country) Then
                cmd.Parameters.AddWithValue("@Country", country)
            Else
                cmd.Parameters.AddWithValue("@Country", CObj(DBNull.Value))
            End If
            con.Open()
            Me.gvCustomers.DataSource = cmd.ExecuteReader()
            Me.gvCustomers.DataBind()
            con.Close()
        End Using
    End Using
End Sub

Protected Sub SelectedCountry(ByVal sender As Object, ByVal e As EventArgs)
    Me.BindCustomers()
End Sub

Screenshot