Issue with Drop Down Select index change

I am working on code for the month, day, and year all in separate drop down boxes. When they select the month I want to send that data to a string and concatenate it to make a date. I tried to do the select index change event, but when I put a msgbox in the code, it never fires off? Can someone help me please? The code is below
Protected Sub ddDay_SelectedIndexChanged(ByVal sender As Object, ByVal e As System.EventArgs)
MsgBox("he ...