Try This code, it is using Java Script :

<P>Choose your destination : <BR><BR> 

<select name="select" onchange="document.location.href=this.options[th
+ +is.selectedIndex].value;"> 

<option value="http://google.com">optionA</option> 
<option value="http://yahoo.com">optionB</option> 
<option value="http://msn.com">optionC</option> 

</select>
[download]

Regds
Vivek