To implement the example scenario,
you need to add the ActionListner on you Country ComboBox and handle the event within this listener.
For example, whenever user chooses any country, query your DB to get the cities for the selected country and update the model of
the cities combo box so that the City ComboBox will display the updated data.
Refer to this link for more information:
How to Use Combo Boxes.
And to set any item selected in the combo box, check the below examples: