I assume you mean that you want the contents of select box 2 to change whenever someone changes select box 1. In this case, Javascript will be your only solution. Since CF is a server side language, CF code only executes when the visitor requests a script. When the script is run, the page is generated and then sent back to the browser. Once the page loads in the browser, CF has no interaction until the visitor submits a form or clicks on a link.
To do what you described with CF will require a page reload and thus a refresh. If you're ok using javascript, you can pre-populate arrays on the server side and pass these back as javascript variables which are used to change the contents of select box 2. For large queries, this can be very resource intensive. In these cases, you're better off with the refresh approach.
Hope this helps,
GJ