Change the option value to the corresponding url.
Code:
cities[1]=["New York|http://www.google.com/", "Los Angeles|http://www.yahoo.com", ...
Then remove the onclick on the cities dropdown and change it to onchange
Code:
<select name="cities" size="4" style="width: 150px" onchange="if (this.value) location.href=this.value;">
If you want it to open in a new window instead of the same window:
Code:
<select name="cities" size="4" style="width: 150px" onchange="if (this.value) window.open(this.value, '_blank');">