Hrm, if you don't mind reloading the page through post actions, you can do it all on one page.
i.e. lets say your page is called myloc.php
$isCountySet = @$_POST['county'];
if($isCountySet){
$sql = "SELECT id, city FROM CITIES WHERE id = '$isCountySet'";
$result = @mysql_query($sql, $connection) or die(mysql_error());
echo("<select name=\"city\">\n");
while($row = mysql_fetch_array($result)){
$city = $row['city'];
$ciID = $row['id'];
echo("<option value=\"$ciID\">$city</option>\n");
}
echo("</select>\n");
} else {
$sql = "SELECT id, county FROM COUNTIES";
$result = @mysql_query($connection, $sql) or die(mysql_error());
echo("<form action=\"myloc.php\" method=\"post\">\n");
echo("<select name=county>\n");
while($row = mysql_fetch_array($result)){
$county = $row['county'];
$coID = $row['coID'];
echo("<option value=\"$coID\">$county</option>\n");
}
echo("</select>\n");
echo("<input type=\"submit\" value=\"Load This County\">");
echo("</form");
}
Of course, this code isn't anywhere near complete, but this is basically how I would do it.