<select onchange="change( this );">
    <option> - select - </option>
    <option value="0">Google</option>
    <option value="1">Yandex</option>
    <option value="2">Mail</option>
</select>

<script type="text/javascript">
    function change( self ) {
        var links = [
            'http://google.ru',
            'http://yandex.ru',
            'http://mail.ru'
        ];
        document.location = links[ self.value ];
    }
</script>