... or if you want / need to keep your option 'value' as it was, just add a new attribute:
<select id="my_selection">
<option value="x" href="/link/to/somewhere">value 1</option>
<option value="y" href="/link/to/somewhere/else">value 2</option>
</select>
<script>
document.getElementById('my_selection').onchange = function() {
window.location.href = this.children[this.selectedIndex].getAttribute('href');
}
</script>