Your onChange handler should send the browser to a server-side script (could be PHP). There are at least two ways to do this - you could have it submit the form:
<form name="form_x" action="/path/to/your/script">
<select onChange="document.forms['form_x'].submit()">
<option>
<option>
etc.
</select>
</form>
OR - you could make it go directly to the script and pass the needed value as a query string param:
<form action="/"> <!-- it doesn't matter what the action is, but specify an action anyway to keep Netscape happy -->
<select onChange="self.location = 'path/to/your/script?value='+this[this.selectedIndex].value;">
<option>
<option>
etc.
</select>
</form>
And, once the value has been sent to the script, you can do whatever you want with it, such as to query a database.
-Keegan