I want to set up a question with sub questions with dropdown answer option for each.

You'll need to create a CSV with your possible answer options (do not include headers). Here's a good Qualtrics help article on the subject. Definitely check out that article if you haven't already.
The first column should have every response option you want in the first dropdown menu. So if your first question is "Select a number 1 through 10" then your CSV will have the numbers 1 through 10 in the first column, each in their own row.
The subsequent columns should have follow-ups. So, for lack of a better example... if your second question is "Select your favorite fruit" and you want whoever selected a "1" in your first question to see the response choices of "Apples" or "Bananas", and whoever selected "2" in your first question to see the response choices of "Apricots" and "Berries" then your CSV would look something like this, to start:
1 Apples
1 Bananas
2 Apricots
2 Berries
If you are still confused, then you can give me some more detail on the specific questions and answers you want to put into your drill down and I'll try to help you figure it out.
OR if you've looked at this and the drill-down question set up doesn't seem quite right / able to do what you want, then maybe you can accomplish what you want to do with several different questions and display logic?

Beza Yeah, you can't just put 1-10 in each column in the CSV. You have to have one row for every combination of responses. If you want there to be 10 options in the second question if somebody selects "1" in the first question, then you have to write "1" 10 times in the first column. And if you want there to be 10 options in the second question if somebody selects "2" in the first question, then you'll have to write "2" 10 times in the first column. Here's an example of what that would look like for 3 questions (screenshot below). The first row represents somebody choosing the number "1" for all 3 questions. The second row is somebody choosing "1" for the first 2 questions, and "2" for the third. And so on. You need every combination represented in your CSV. This is just the start... and it's just 3 questions.

Since you have 5 questions, your CSV will be crazy long. For 5 questions, the start of your CSV would look like this:

Now, the benefit of doing a drill-down is that it shows different choices to later questions, based on responses earlier questions. It's really useful if you're narrowing something down, like region --> state --> city --> school name or something like that. In your case, I don't think it's actually necessary. I would suggest you not use a drill-down at all, and instead consider using 5 separate Multiple Choice questions, with the answer choices formatted as a Dropdown List.
Unless you don't want to display every possible response (1-10+) for every question...? Is there some kind of display logic you want set up?