Hola, reycoy
¿Qué tal así?
Código HTML:
<HTML>
<HEAD>
<script language="javascript" type="text/javascript">
function retiene(ctl) {
location.href = '?' + ctl.options[ctl.selectedIndex].value
}
</script>
</HEAD>
<BODY>
<form>
<select name="menu" onChange="retiene(this)">
<option value="" selected>Elige</option>
<option value="1">1</option>
<option value="2">2</option>
<option value="3">3</option>
</select>
</form>
</BODY>
</HTML>