Use CompareValidator control like this:
<form id="form1" runat="server">
<div>
<asp:DropDownList ID="ddl1" runat="server">
<asp:ListItem Text="a" Value="a"></asp:ListItem>
<asp:ListItem Text="b" Value="b"></asp:ListItem>
</asp:DropDownList>
<asp:DropDownList ID="ddl2" runat="server">
<asp:ListItem Text="a" Value="a"></asp:ListItem>
<asp:ListItem Text="b" Value="b"></asp:ListItem>
</asp:DropDownList>
<asp:DropDownList ID="ddl3" runat="server">
<asp:ListItem Text="a" Value="a"></asp:ListItem>
<asp:ListItem Text="b" Value="b"></asp:ListItem>
</asp:DropDownList>
<asp:CompareValidator ID="CompareValidator1" runat="server"
ErrorMessage="DropDownList 1 can't be equal DropDownList 2"
ControlToCompare="ddl1" ControlToValidate="ddl2" Operator="NotEqual"></asp:CompareValidator>
<asp:CompareValidator ID="CompareValidator2" runat="server"
ErrorMessage="DropDownList 2 can't be equal DropDownList 3"
ControlToCompare="ddl2" ControlToValidate="ddl3" Operator="NotEqual"></asp:CompareValidator>
<asp:CompareValidator ID="CompareValidator3" runat="server"
ErrorMessage="DropDownList 1 can't be equal DropDownList 3"
ControlToCompare="ddl2" ControlToValidate="ddl3" Operator="NotEqual"></asp:CompareValidator>
</div>
</form>