Hi -
You probably want a drop down control for the first selection - if you give your users a text box, there is a good chance they'll type in something that isn't the exact same as the options you want them to have.
I've attached a simple sample - this is easier to describe with a form than in words. The template is IP 2007 - hopefully you are at least using 2007. If you need 2003, let me know.
Right click the link in the header, and save the file locally. Then right click your local copy and select design to open in design mode and preview. I'm using an XML file for the secondary data connection, since you and I don't have any SharePoint lists in common, but you'll see I've shown two ways to do this - one is a default value on the second field, the other uses a rule on the first field.
One thing to be aware of - a default value depending on a secondary data source may not always be what you want. If your secondary data source changes, the default value will also change when the XML is re-opened.