Correct me if I misunderstood your problem. You don't want any event to be defined in your ASPX page? Because one common solution is to use delegates and events to trasnfer values between your User Controls through that (using public properties).
Other case is that you are trying to write complete logic in your first UserControl only (one with Drop Down). In that case in the event for 'Selected_Index' change this can be achieved by finding your second User Control in current Page and setting it's Text. A rough code will look like:
UserControl label = this.Page.FindControl("UserControl21") as UserControl;
Label lbl = label.FindControl("Label1") as Label;
lbl.Text = DropDownList1.SelectedValue;
Edit: Added code block.