Code fixed..
check this
<SCRIPT LANGUAGE="JavaScript">
function formHandler(URL){
window.location.href = URL;
}
</SCRIPT>
<form name="form">
<FONT COLOR="#000000" SIZE="3">
<select name="site" onChange="javascript:formHandler(this.value);">
<%
SELECT * FROM MYTABLE INTO CURSOR XX
SCAN
%>
<option value="<%RTRIM(iURL)%>"><%RTRIM(iText)%>
<%ENDSCAN%>
</select>
</FONT>
</form>