Hi  smile,
Refer below sample.
Namespaces
C#
using System.Data.SqlClient;
VB.Net
Imports System.Data.SqlClient
Code
C#
private void Form1_Load(object sender, EventArgs e)
{
    using (SqlConnection con = new SqlConnection(constr))
    {
        using (SqlCommand cmd = new SqlCommand("SELECT EmployeeId, Country FROM Employees", con))
        {
            using (SqlDataAdapter da = new SqlDataAdapter(cmd))
            {
                DataTable dt = new DataTable();
                da.Fill(dt);
                dataGridView1.DataSource = dt;
                this.comboBox1.DataSource = dt;
                this.comboBox1.DisplayMember = "Country";
                this.comboBox1.ValueMember = "EmployeeId";
            }
        }
    }
}
private void comboBox1_SelectedIndexChanged(object sender, EventArgs e)
{
    if (comboBox1.SelectedValue.GetType() != typeof(DataRowView))
    {
        using (SqlConnection con = new SqlConnection(constr))
        {
            using (SqlCommand cmd = new SqlCommand("SELECT EmployeeId, Country FROM Employees WHERE Country =@Country", con))
            {
                cmd.Parameters.AddWithValue("@Country", comboBox1.Text);
                using (SqlDataAdapter da = new SqlDataAdapter(cmd))
                {
                    DataTable dt = new DataTable();
                    da.Fill(dt);
                    this.checkedListBox1.DataSource = dt;
                    this.checkedListBox1.DisplayMember = "EmployeeId";
                    this.checkedListBox1.ValueMember = "EmployeeId";
                }
            }
        }
    }
}
private void checkedListBox1_SelectedIndexChanged(object sender, EventArgs e)
{
    if (checkedListBox1.CheckedItems.Count > 0)
    {
        string statList = "(";
        foreach (object item in checkedListBox1.CheckedItems)
        {
            DataRowView row = item as DataRowView;
            statList += "'" + row["EmployeeId"] + "',";
        }
        statList = statList.Substring(0, statList.Length - 1) + ")";
        string query = "SELECT EmployeeId, Country FROM Employees WHERE EmployeeId in " + statList;
        using (SqlConnection con = new SqlConnection(constr))
        {
            using (SqlCommand cmd = new SqlCommand(query, con))
            {
                using (SqlDataAdapter da = new SqlDataAdapter(cmd))
                {
                    DataTable dt = new DataTable();
                    da.Fill(dt);
                    dataGridView1.DataSource = dt;
                }
            }
        }
    }
}
VB.Net
Private Sub Form1_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    Using con As SqlConnection = New SqlConnection(constr)
        Using cmd As SqlCommand = New SqlCommand("SELECT EmployeeId, Country FROM Employees", con)
            Using da As SqlDataAdapter = New SqlDataAdapter(cmd)
                Dim dt As DataTable = New DataTable()
                da.Fill(dt)
                dataGridView1.DataSource = dt
                Me.comboBox1.DataSource = dt
                Me.comboBox1.DisplayMember = "Country"
                Me.comboBox1.ValueMember = "EmployeeId"
            End Using
        End Using
    End Using
End Sub
Private Sub comboBox1_SelectedIndexChanged(ByVal sender As Object, ByVal e As EventArgs)
    If comboBox1.SelectedValue.[GetType]() <> GetType(DataRowView) Then
        Using con As SqlConnection = New SqlConnection(constr)
            Using cmd As SqlCommand = New SqlCommand("SELECT EmployeeId, Country FROM Employees WHERE Country =@Country", con)
                cmd.Parameters.AddWithValue("@Country", comboBox1.Text)
                Using da As SqlDataAdapter = New SqlDataAdapter(cmd)
                    Dim dt As DataTable = New DataTable()
                    da.Fill(dt)
                    Me.checkedListBox1.DataSource = dt
                    Me.checkedListBox1.DisplayMember = "EmployeeId"
                    Me.checkedListBox1.ValueMember = "EmployeeId"
                End Using
            End Using
        End Using
    End If
End Sub
Private Sub checkedListBox1_SelectedIndexChanged(ByVal sender As Object, ByVal e As EventArgs)
    If checkedListBox1.CheckedItems.Count > 0 Then
        Dim statList As String = "("
        For Each item As Object In checkedListBox1.CheckedItems
            Dim row As DataRowView = TryCast(item, DataRowView)
            statList += "'" & row("EmployeeId") & "',"
        Next
        statList = statList.Substring(0, statList.Length - 1) & ")"
        Dim query As String = "SELECT EmployeeId, Country FROM Employees WHERE EmployeeId in " & statList
        Using con As SqlConnection = New SqlConnection(constr)
            Using cmd As SqlCommand = New SqlCommand(query, con)
                Using da As SqlDataAdapter = New SqlDataAdapter(cmd)
                    Dim dt As DataTable = New DataTable()
                    da.Fill(dt)
                    dataGridView1.DataSource = dt
                End Using
            End Using
        End Using
    End If
End Sub
Screenshot
