assuming you want the drop down box on a web page and using php, then
1. run your select query
$result = mysql_query("select state_id, state_name from table", $dbconnection);
2.populate your combo
$html_output = '<select name="states">';
while($state = mysql_fetch_array($result)) {
$html_output .= '<option value="'.$state["state_id"].'">'.$state["state_name"].'</option>';
}
$html_output .= '</select>';
echo $html_output;
hope this helps