Please find attached a sample project that implements very similar scenario. It is used server-side binding. In the embeddedTree_NodeExpand event handler you can retrieve the child items from the data base and add the nodes to expanded nodes collection.
A very important aspect of this approach is that to set ExpandMode = TreeNodeExpandMode.ServerSideCallBack for the nodes created and loaded in the embeddedTree_NodeExpand method. This way all nodes loaded on demand will have the plus sign icon on the left and they will load their child nodes on demand and etc.
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