When creating the dropdownlist you need to programmatically add the event handler.
DropDownList objdropDown = new DropDownList();
objdropDown.EnableViewState = true;
objdropDown.AutoPostBack = true;
objdropDown.SelectedIndexChanged += new EventHandler(objdropDown_SelectedIndexChanged);
protected void objdropDown_SelectedIndexChanged(object sender, EventArgs e)
{
//My code here
}