well, in your combo-box, you'd have an onChange event which submits that combobox form. Your PHP page would see that the combobox field isn't empty, and would act accordingly to fire off a different query populating the next one.
I don't have time to write it out, but the basic idea is this:
1.) User selects item in Combobox
2.) Combobox onChange submits form
3.) PHP sees a non-empty Combobox value
4.) PHP executes a query to get information based upon what the new value is
5.) PHP displays the page again with two comboboxes, the original (with "country" already selected), and the new one
Repeat that as necessary until you fill all your combobox needs.