Selects are horrible to style, especially if you're concerned with older browsers. You can't really do anything with just CSS, at most you can do this kind of stuff
However, you can mimic the behaviour that you want... if you're willing to use Javascript, for example you could do something like this
<style>
.fake-link {
color:#0044ff;
text-decoration: underline;
cursor:pointer;
}
</style>
<select onchange="location = this.options[this.selectedIndex].value;">
<option value="#">Select a Link</option>
<option class="fake-link" value="http://stackoverflow.com/">A fake link</option>
<option class="fake-link" value="http://google.com">Another, another fake link</option>
</select>
It's annoying that you have to dip into Javascript to do something that sounds simple enough to do, but as far as i know, you can't do it any other way