The correct function for a new window is window.open();
<form name="jump">
<select name="menu">
<option value="http://">link</option>
<option value="http://">link</option>
<option value="http://">link</option>
</select>
<input type="button" id="button"
onclick="window.open(document.jump.menu.options[document.jump.menu.selectedIndex].value);" value="GO" />
</form>
Note: Writing in line javascript can be messy. try separating your javascript from your presentation