drop down menu link

Hi. I just have a simple drop down menu. I would just like to have one of the options be a link. How do I do that? I thought I found something yesterday that would work, but it doesn't. Here's what I found:

<select name="Socket_Adapter_Choice" onchange="location = this.options[this.selectedIndex].value;">

  <option selected value=""></option>

    <option value="Add_Socket_App.cfm">Add Socket Application</option>

  <option value="Add_Adapter_App.cfm">Add Adapter Application</option>

  </select>

Thanks.

Andy