Ummar is right, now if you want to do it by applying your code try this:
I reccomend to use ViewState, Session variables are always dificult to handle, also it doesn't have sense if you need it only in that form.
Something like this:
string LastSelectedValue
{
get { return ViewState["LastSelectedValue"] as string; }
set { ViewState["LastSelectedValue"] = value; }
}
protected void cboTest_SelectedIndexChanged(object o, Telerik.Web.UI.RadComboBoxSelectedIndexChangedEventArgs e)
{
if(string.IsNullOrEmpty(this.LastSelectedValue))
{
//This is the first time the user changes the index
}
else
{
//The last selected Value is stored in this.LastSelectedValue
}
// last line of your code must be this one
this.LastSelectedValue = this.cboTest.SelectedValue;
}