Try to do like this:
$select = new Zend_Form_Element_Select('my_element', array(
'label' => 'My Element',
'description' => 'My link <a href="https://www.google.com/">here</a>',
'multiOptions' => array(
'opt_one' => 'Option One',
'opt_two' => 'Option Two'
)));
$select->getDecorator('Description')->setOption('escape', false);
$form->addElement($select);