Using Drupal 6's form ahah to have one dropdown field update the values of a second dropdown field
There's comprehensive example code in the Examples module that shows how to do this.

In the dependant_dropdown.inc file of the ahah_example module, you'll find an example form that does exactly what you're looking for. It's very well commented and should guide you through the process pretty well.

There's also a companion tutorial for the ahah_example module which would be worth looking it as it has more code examples.