Probá así:
Código PHP:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
<title>TEST</title>
<script>
function a(o,e){
var ob=document.getElementById(o);
var ag=new Option(e,e,true,ob.options.length);
for(var i=0;i<ob.options.length;i++){
if(ob.options[i].value==e){
alert('ya existe');
return;
}
}
ob.options[ob.options.length]=ag;
}
</script>
</head>
<body>
<form id="form1" name="form1" method="post" action="">
<select name="select" id="pp">
<option value="AA">AA</option>
<option value="BB">BB</option>
<option value="CC">CC</option>
</select>
<input type="button" name="Submit" value="AGREGAR DD" onclick="a('pp','DD')" />
<input type="button" name="Submit" value="AGREGAR EE" onclick="a('pp','EE')" />
</form>
</body>
</html>