You will get a parse error like that.
This will work instead:
<?php
$connect=mysql_connect("localhost","","");
$db=mysql_select_db("database",$connect);
$query=mysql_query("SELECT col_name FROM tbl_name");
if (!$query) {
print "<p>Error performing query: ".mysql_error() . "</p>\n";
exit();
}
print "<select name='name'>";
while ($row = mysql_fetch_row($query)) {
for ($i = 0; $i < mysql_num_fields($query); $i++) {
printf ("<option>%s</option>\n", ($row[$i]));
}
}
print "</select>";
?>