Código PHP:
if ($row = mysql_fetch_array($result)){
echo "Elija Categoria<br>";
echo "<select name= 'CmbCategoria'>";
do {
echo '<option value= "'.$row["Id_categoria"].'"' . ($row["Id_categoria"] == $_POST["CmbCategoria"] ? "selected='selected'" : "") . '>'.$row["Nombre"].'</option>';
} while ($row = mysql_fetch_array($result));
echo '</select>';
}
?>