Hey, welcome to TSF. Something like this will work:
Code:
<select name="ComprehensiveList" onchange="if(this.options[this.selectedIndex].value != ''){window.open(this.options[this.selectedIndex].value)}">
<option value="" selected="selected"><select></option>
<option value="www.whatever.com">Option1</option>
<option value="www.whatever.com">Option2</option>
</select>
It just adds that if statement to check that there's a URL selected.
Cheers,
Jamey