Advice Needed: Where To Put ADO Code

I need some advice on a project that I am working on...

First, here is what I am trying to achieve:  A Web Form with two controls:  A DropDownList with two items added at design time (Fruits and Vegetables) and an empty ListBox.  When the user chooses a "category" from the DropDownList, the ListBox will be populated with a list of either "Fruits" or "Vegetables" retrieved from a SQL database.  (Note:  Since the data in the SQL database must be converted and formatted programatically, simply databinding the ListBox will not work here.)

I believe that I can do this with the following code (stolen from an MSDN article):'Create ADO.NET objects.
Private myConn As SqlConnection
Private myCmd As SqlCommand
Private myReader As SqlDataReader
Private results As String

'Create a Connection object.
myConn = New SqlConnection("Initial Catalog=Northwind;" & _
"Data Source=localhost;Integrated Security=SSPI;")

'Create a Command object.
myCmd = myConn.CreateCommand
myCmd.CommandText = "SELECT FirstName, LastName FROM Employees"

'Open the connection.
myConn.Open()

myReader = myCmd.ExecuteReader()

'Concatenate the query result into a string.
Do While myReader.Read()
results = results & myReader.GetString(0) & vbTab & _
myReader.GetString(1) & vbLf
Loop
'Display results.
MsgBox(results)

'Close the reader and the database connection.
myReader.Close()
myConn.Close()

  Now here is the part that I am not sure about:  Is the FormLoad event the best place to put this code?  If I do, is this not a lot of overhead (creating, opening and closing a connection) everytime there is a page refresh/PostBack?   Would I be better off putting this code in the DropDownList SelectedIndexChanged event?  Although that seems like it could make the process of selecting a category take a fairly long time.

Finally, if the is a better way of doing this, I am certainly open to suggestions.

All advice is greatly appreciated.