This can be archived by adding code on the onchange event of the select control.
For Example:
<select onchange="this.options[this.selectedIndex].value && (window.location = this.options[this.selectedIndex].value);">
<option value=""></option>
<option value="http://google.com">Google</option>
<option value="http://gmail.com">Gmail</option>
<option value="http://youtube.com">Youtube</option>
</select>