Keep in mind that such a menu can be annoying for the user, e.g. if they slip with the mouse. Also search engines (and some human users) may have trouble following javascript-dependent menus, even though Google is said to recognize full URLs in scripts nowadays. See also the link Frederiek posted.
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Regarding the example script, you'll need to make an exception for the empty one with say
CODE
if(this.options[this.selectedIndex].value!='') {window.open(this.options[this.selectedIndex].value);}
You should also insert an "http://" before the "www" part of the non-empty OPTION values.
You may also want to add a space between attributes, can't remember if it's valid HTML not to do it but at least it looks neater.