Grazie mille ho risolto così:
codice:
function readCookie(name) {
  var nameEQ = name + '=';
  var ca = document.cookie.split(';');
  for(var i=0;i < ca.length;i++) {
    var c = ca[i];
    while (c.charAt(0)==' ') c = c.substring(1,c.length);
    if (c.indexOf(nameEQ) == 0) return c.substring(nameEQ.length,c.length);
  }
  return null;
}

function goThere(){
  if(!document.theForm.theMenu.selectedIndex==""){

//Ho aggiunto "!" e ==""

    if(!readCookie('tuocookie')==""){
      window.open(document.theForm.theMenu.options[document.theForm.theMenu.selectedIndex].value,theTarget,"");
    }
    else {
       alert('non puoi scaricare');
    }
  }
}