Così?
codice:
<form name="form1" method="post" action="">
  <select name="select" size="3" onChange="document.location=form1.select.value">
    <option value="http://www.html.it">link1</option>
    <option value="http://www.tiscali.it">link2</option>
    <option value="http://www.google.it">link3</option>
  </select>
</form>
P75