Hola,
Prueba con ésto:
Código PHP:
<?php
$estados = array(
"1" => "Colima",
"2" => "Jalisco",
"3" => "Sinaloa"
);
echo "<form method=post action=\"capital.php\">";
echo "<select name=\"estado\">";
for ($counter=1; $counter<4; $counter++);
echo "<option value=\"$counter\">" . $estados[$counter] . "</option>";
echo "</select><br><br>";
echo "<input type=\"submit\" value=\"proceder\">";
echo "</form>";
?>