Try it like this :
Code:
<form onsubmit="if(this.url.value=='noselected'){alert('Please select...');}else{open(this.url.value,'','');}return false;">
<select name="url">
<option value ="noselected">Please select...</option>
<option value ="http://www.yahoo.com">Yahoo</option>
<option value ="http://www.google.com">Google</option>
<option value ="http://www.apple.com">Apple</option>
</select>
<input type="submit" name="get" value="Go">
</form>
It will check if the Please select... option is selected. If it is, it will alert, if it's not, it will redirect.
Although I don't really like writing the javascripts within the listener in this case I did so it will more like your code but it would be better if you called a function onsubmit and have the javascript code within the function.
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