I never thought creating a dependent picklist in CRM 4.0 could be that easy.
Just download this toolMicrosoft Dynamics CRM Demonstration Tools (for Microsoft Dynamics CRM 4.0)
After connecting, click on the Dependent Picklist on the left navigation bar,
Select an entity, and primary and related picklist,
Select an option in primary picklist and check the boxes for the related picklist options and click on map,
same way map other options as well.
Once done, click on get scripts button, we’ll get the onload and onchange code which we need to just copy paste in the form !