See Raju In ajax we can handle ResponseText and responseXML

USE This
<%@page import="java.sql.Connection"%>
<%@page import="java.sql.Statement"%>
<%@page import="java.sql.ResultSet"%>
<%@page import="java.sql.DriverManager"%>
<%
int countryID=0;
String result = "";
String value = request.getParameter("country");
System.out.print("value "+value);
String dbQuery1 = "Select country_ID FROM TB_countries WHERE country_name='" + value + "'";
try{

Class.forName("com.mysql.jdbc.Driver");
Connection con = DriverManager.getConnection("jdbc:mysql://localhost:3306/mydatabase";, "root", "");
Statement stmt = con.createStatement();
ResultSet rs = stmt.executeQuery(dbQuery1);
while(rs.next()){
countryID = rs.getShort("country_ID");
}
String dbQuery2 = "Select state_name FROM TB_states WHERE country_ID=" + countryID;
rs = stmt.executeQuery(dbQuery2);
while(rs.next()){
result = result + rs.getString("state_name") + ",";
}
out.write(result);
out.flush();
out.close();
}catch(Exception ex){
System.out.print(ex.getMessage());
}
%>

Thanks
Rajanikant