karden,
<!doctype html>
<html lang="en">
<head>
<meta charset="utf-8">
<title>selectmenu demo</title>
<link rel="stylesheet" href="http://code.jquery.com/ui/1.11.4/themes/smoothness/jquery-ui.css">
<style>
label { display: block; }
select { width: 200px; }
</style>
<script src="http://code.jquery.com/jquery-1.10.2.js"></script>
<script src="http://code.jquery.com/ui/1.11.4/jquery-ui.js"></script>
</head>
<body>
<label for="speed">Select a speed:</label>
<select name="speed" id="speed">
<option value="Slower">Slower</option>
<option value="Slow">Slow</option>
<option value="Medium" selected>Medium</option>
<option value="Fast">Fast</option>
<option value="Faster">Faster</option>
</select>
<script>
$( "#speed" ).selectmenu({change: function( event, ui ) {alert(ui.item.value)}});
</script>
</body>
</html>