Perhaps something like:
<?php
$sql = "
SELECT UNIQUE
MONTH(`date`) AS `mo`,
YEAR(`date`) AS `yr`
FROM `table_name`
ORDER BY `yr` DESC, `mo` DESC
";
$result = mysql_query($sql);
$selectOptions = array();
while($row = mysql_fetch_assoc($result))
{
$selectOptions[] = sprintf(
"<option value='%04d-%02d'>%s %04d</option>\n",
$row['yr'],
$row['mo'],
date('F', mktime(0,0,0,$row['mo'],1,$row['yr'])),
$row['yr']
);
}
?>
...
<select name="archive">
<?php echo implode("\n", $selectOptions); // added implode() here ?>
</select>