ActiveSelect and dropdown boxes

I have book looking at this module for a while but still cannot figure out how to use it.

Here is what I want to have happen:

I want my users to select a "State" from a drop down box and then in the box directly below it I would like for all the colleges to auto populate for that state in the drop down list below.

I think I have to use Taxonomy but when setting this up it looks like I would have to add each state individually and then do the same for the schools. This could take a long time.

TIA,
JD