What I have done in this situation is that I put in the option elements OnClick event like this:
<option onClick="something();">Option Name</option>
Then just create a script function like this:
function something(){
alert("Hello");
}
UPDATE:
Unfortunately I can't comment so I'm updating here
TrueBlueAussie apparently jsfiddle is having some issues, check here if it works or not: http://js.do/code/klm