The accepted solution looks good, but there is one case it cannot handle:
The "onchange" event will not be triggered when the same option is reselected. So, I came up with the following improvement:
HTML
<select id="sampleSelect" >
<option value="Home.php">Home</option>
<option value="Contact.php">Contact</option>
<option value="Sitemap.php">Sitemap</option>
</select>
jQuery
$("select").click(function() {
var open = $(this).data("isopen");
if(open) {
window.location.href = $(this).val()
}
//set isopen to opposite so next time when use clicked select box
//it wont trigger this event
$(this).data("isopen", !open);
});