I don't think it would be any different using that control inside a .ascx vs a .aspx, in both cases you first need to implement a WebService page, in the demo they have CarService.asmx set as the web service to provide the data. You would need to create a .asmx service page to produce the data that the cascading dropdown consumes. It doesn't really matter whether the control lives inside a .ascx UserControl or inside a .aspx Page, it will consume the data from the web service page in both cases.
Hope it helps,
Joe