In the drop down code, each option needs to have a little bit of PHP to check if that option == the value it's expecting. If it is, then echo 'selected' to indicate that it's the selected option.
A very quick example:
<select id="myselect" name="myselect">
<option value="0">[Please select]</option>
<option value="a" <?php if($_SESSION['variable'] == 'a') echo 'selected'; ?>>a</option>
<option value="b" <?php if($_SESSION['variable'] == 'b') echo 'selected'; ?>>b</option>
<option value="c" <?php if($_SESSION['variable'] == 'c') echo 'selected'; ?>>c</option>
</select>
It's always a good idea to have a default "Please choose/select/whatever" in case nothing matches (or it's the first time the user sees the page).