If you don't mind modifying your HTML a little to include the value attribute of the options, you can significantly reduce the code necessary to do this:
<option>B</option>
to
<option value="B">B</option>
This will be helpful when you want to do something like:
<option value="IL">Illinois</option>
With that, the follow jQuery will make the change:
$("select option[value='B']").attr("selected","selected");
If you decide not to include the use of the value attribute, you will be required to cycle through each option, and manually check its value:
$("select option").each(function(){
if ($(this).text() == "B")
$(this).attr("selected","selected");
});