How to add subitems to dropdown list?

i want to fill a drop down list with country id and country name from the country table and subitems to the country city id and city name from city table where country id is a forign key.

eg : drop down should be filled with following values.

UAE

    DUBAI

    SHARJAH

INDIA

    BANGALORE

    KOZHIKODE

    DELHI

PLS  help me to find out a solution ...