Have you tried doing it? I don't mind helping, but I don't plan on spelling it all out if you haven't actually spent a lot of time doing your own trial and error.
Without giving step-by-step, here are the main pieces:
1) Create a data connection to whatever your data source is that will populate the dropdown list in InfoPath.
2) Create a two data elements in InfoPath for storing the dropdown selections.
3) Drag those two data elements to the canvas and change them to dropdown lists.
4) Configure the properties of each dropdown to point to the data connection from #1. Be sure to choose a proper Display and Value (can be the same or different). The display is what users will say, but the value is what is stored in the XML.
5) When configuring the 2nd dropdown to connect to the data connection, click on the filter button and tell it to only show items where Data Element #1 is equal to a value in the list.
Somewhere in your data source, the 2nd set of selections has to be tied to some unique value in the first set of selections. You haven't mentioned what your data really is, so...