With that said, one way to replicate a drop down menu with PHP is to setup an HTML form somewhere on your page and have it pass the site's URL to a PHP page when you submit it. For example:
<form action="jump.php" method="post"> <select name=url> <option value="http://php.about.com">About PHP</option> <option value="http://www.identity.st">Identity</option> </select> <input type="submit" value="Go"> </form>
Then have the PHP file jump.php use basic redirection to send them to the right page. For example:
<?php $url = $_POST["url"]; header("Location: $url"); ?>
Give it a shot!