If you want to do some checks then use this way
<select size="1" name="links" onchange="functionToTriggerClick(this.value)">
<option value="">Select a Search Engine</option>
<option value="http://www.google.com">Google</option>
<option value="http://www.yahoo.com">Yahoo</option>
</select>
<script>
function functionToTriggerClick(link) {
if(link != ''){
window.location.href=link;
}
}
</script>