In Java Swing:

import java.sql.*;
import java.awt.*;
import javax.swing.*;
import java.awt.event.*;
class  JComboBoxExample{
    public static void main(String[] args){
        JFrame f=new JFrame();
        f.setLayout(null);
        JLabel lab=new JLabel("Countries:");
        final JComboBox combo=new JComboBox();
        combo.addItem("--Select--");
        try{
        Class.forName("com.mysql.jdbc.Driver");
           Connection con = DriverManager.getConnection("jdbc:mysql://localhost:3306/test", "root", "root");
           Statement st=con.createStatement();
           ResultSet rs=st.executeQuery("select * from country");
           while(rs.next()){
           combo.addItem(rs.getString("countryname"));
           }
        }
        catch(Exception e){}
        lab.setBounds(20,20,100,20);
        combo.setBounds(120,20,120,20);
        f.add(lab);
        f.add(combo);
        f.setVisible(true);
        f.setSize(300,120);
    }
}

In JSP

<%@page import="java.sql.*"%>
<select>
<option><--Select--></option><%
Class.forName("com.mysql.jdbc.Driver").newInstance();  
 Connection con = DriverManager.getConnection("jdbc:mysql://localhost:3306/test","root","root");  
Statement st=con.createStatement();
ResultSet rs=st.executeQuery("Select * from country");
while(rs.next()){
    %>
<option value="<%=rs.getString("countryname")%>"><%=rs.getString("countryname")%></option>
<%
}
%>
</select>

Thanks for the help I will try with the JSP one. If instead of MYSQL if i use microsoft access, what will change?