Is there a way to insert a URL in a dropdown?

Is there a way to insert a URL in a dropdown?

We are currently using the URL function to display a list of our store locations.  Each URL directs the user to a report for their specific location.  Is there a way to have a dropdown, and the user select an item in the dropdown to open a URL in a new browser window?  I tried using a simple <a /> for a selection of the dropdown, but it does nothing.  Thanks for any help.