You could potentialy create your own field type that inherits from the lookup type and extend it to filter. it is rather complex though - not really a question that can be easily answered on the forums.
I suggest you do some readin on custom field controls and custom field types. you will find examples in the WSS SDK as well in many blogs (not mine however - I have only played with it).
An example of people who already did something similar (but not exactly what you are after) is infowise with their moss connected fields product - which filters one lookup based on another lookup.
happy hunting!
