They're two totally different things.
The select list will only display one row at a time while the unordered list will display everything all the time.
Are you trying to implement a jump menu? It's a select menu that automatically navigates to the url specified with a JavaScript "OnChange" event.
They're easily implemented in DreamWeaver but you can find free JavaScripts all over the place.
Here's a free script you can use.
The JavaScript Source: Navigation: Jump Menu
(Try not to use this as a main navigation source though, it's not fully accessible to all browsers.)