One word! JavaScript. What you want can´t be done with PHP.
You actually should post this question on a ClientSide/JavaScript forum instead.
The code below will open a new window with the url specified in the "value" attribute of the "option" element upon changes to the "select" element (note that you don´t need a "OK" button, if you want it, make the suitable changes):
Between <head> and </head>
---8<-----
<script type="text/javascript" language="JavaScript">
function navigateTo(url)
{
winName = 'nameOfNewWindow';
winFeatures 'YourOwnWindowFeatures';
window.open(url, winName, winFeatures);
}
</script>
---8<-----
---8<-----
<select name="nameOfSelectElement" onchange="navigateTo(this.options[this.selectedIndex].value)">
<option value="url1">nameOfUrl1</option>
<option value="url2">nameOfUrl2</option>
<option value="url3">nameOfUrl3</option>
</select>
---8<-----
Happy Coding
/Andrin