System.IO.DirectoryInfo dirInfo = new System.IO.DirectoryInfo("X:\\File\\Path\\");
System.IO.FileInfo[] files = dirInfo.GetFiles("*.ext");
yourDropDownList.DataSource = files;
yourDropDownList.DataBind();
OR we can do it the old fashioned way:
foreach (FileInfo file in files) {
yourDropDownList.Items.Add(new ListItem(file.Name));
}