Why this code Write down in Page_Load ?

Question

protected void Page_Load(object sender, EventArgs e)
{
   // Why this code Load in Page_Load

    if (!Page.IsPostBack)
    {
        SqlConnection con = new SqlConnection(@"Data Source=.\SQLEXPRESS;AttachDbFilename=|DataDirectory|\Database.mdf;Integrated Security=True;User Instance=True");
        SqlCommand cmd = new SqlCommand("select * from tbl_country", con);
        SqlDataAdapter sda = new SqlDataAdapter(cmd);
        DataTable dt = new DataTable();
        sda.Fill(dt);
        DropDownList1.DataSource = dt;
        DropDownList1.DataBind();

    }

            // end Why this code Load in Page_Load

}
protected void DropDownList1_SelectedIndexChanged(object sender, EventArgs e)
{
    DropDownList2.Items.Clear();
    DropDownList2.Items.Add("Select State");

    SqlConnection con = new SqlConnection(@"Data Source=.\SQLEXPRESS;AttachDbFilename=|DataDirectory|\Database.mdf;Integrated Security=True;User Instance=True");
    SqlCommand cmd = new SqlCommand("select * from tbl_state where country_id=" + DropDownList1.SelectedItem.Value, con);
    SqlDataAdapter sda = new SqlDataAdapter(cmd);
    DataTable dt = new DataTable();
    sda.Fill(dt);
    DropDownList2.DataSource= dt;
    DropDownList2.DataBind();
}
protected void DropDownList2_SelectedIndexChanged(object sender, EventArgs e)
{
    DropDownList3.Items.Clear();
    DropDownList3.Items.Add("Select State");

    SqlConnection con = new SqlConnection(@"Data Source=.\SQLEXPRESS;AttachDbFilename=|DataDirectory|\Database.mdf;Integrated Security=True;User Instance=True");
    SqlCommand cmd = new SqlCommand("select * from tbl_city where state_id=" + DropDownList2.SelectedItem.Value, con);
    SqlDataAdapter sda = new SqlDataAdapter(cmd);
    DataTable dt = new DataTable();
    sda.Fill(dt);

    DropDownList3.DataSource = dt;
    DropDownList3.DataBind();

}