As a web developer, you will be asking that question ALOT!
It's take alot of finessing to get ajax to work across the board.
Ive seen your alert in both IE and Firefox
So which version of those programs are you running.
Your JS all looks fine at first glance, put in the actual function request int he "onchange" in the drop down and lets see what happens.
Also, I use firefox to do the standard developing because it has a handy js error logger to help you out. It's usually easier to make it work in firefox and then IE because IE tends to be the exception. Meaning if it works in firefox, odds are it will work in opera and other browsers