Are you achieving this category drop-down with a plug-in at present? If so, you could modify it slightly. I am not aware of any existing plug-ins that do this, but what you want is probably something like the following.
In the header:
var URL = document.form.site.options[document.form.site.selectedIndex].value;
window.location.href = URL;
In the body:
where item_1 is the most recent one. I don't know the WordPress API quite so well, but you can have a look at the WordPress Codex. Maybe somebody else in the forum can complete this. Hope it helps...