Check out this article, I too had need for Group DropDown list . . .
ASP.NET DropDownList with OptionGroup support
Usage :
protected void Page_Load(object sender, EventArgs e)
{
ListItem item1 = new ListItem("Camel", "1");
item1.Attributes["OptionGroup"] = "Mammals";
ListItem item2 = new ListItem("Lion", "2");
item2.Attributes["OptionGroup"] = "Mammals";
ListItem item3 = new ListItem("Whale", "3");
item3.Attributes["OptionGroup"] = "Mammals";
ListItem item4 = new ListItem("Walrus", "4");
item4.Attributes["OptionGroup"] = "Mammals";
ListItem item5 = new ListItem("Velociraptor", "5");
item5.Attributes["OptionGroup"] = "Dinosaurs";
ListItem item6 = new ListItem("Allosaurus", "6");
item6.Attributes["OptionGroup"] = "Dinosaurs";
ListItem item7 = new ListItem("Triceratops", "7");
item7.Attributes["OptionGroup"] = "Dinosaurs";
ListItem item8 = new ListItem("Stegosaurus", "8");
item8.Attributes["OptionGroup"] = "Dinosaurs";
ListItem item9 = new ListItem("Tyrannosaurus", "9");
item9.Attributes["OptionGroup"] = "Dinosaurs";
ddlItems.Items.Add(item1);
ddlItems.Items.Add(item2);
ddlItems.Items.Add(item3);
ddlItems.Items.Add(item4);
ddlItems.Items.Add(item5);
ddlItems.Items.Add(item6);
ddlItems.Items.Add(item7);
ddlItems.Items.Add(item8);
ddlItems.Items.Add(item9);
}
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