Use parameters and DO NOT concatenate values into your SQL, Try something like…..
protected void btnRemove(object sender, EventArgs e)
{
conn.Open();
SqlCommand cmd = new SqlCommand("delete from Car where CarID= @CarID", conn);
cmd.Parameters.AddWithValue("@CarID", lstCar.SelectedValue);
SqlCommand cmd1 = new SqlCommand("delete from Orders where OrderID= @OrderID" , conn);
cmd1.Parameters.AddWithValue("@OrderID", lstOrders.SelectedValue);
cmd.ExecuteNonQuery();
cmd1.ExecuteNonQuery();
conn.Close();
}