Heres some code I quickly whipped up for you to use.
HTML Code:
<form action="#">
<select>
<option selected>Choose a destination</option>
<option value="http://www.site.com/file1.html">Menu One</option>
<option value="http://www.site.com/file2.html">Menu Two</option>
<option value="http://www.site.com/file3.html">Menu Three</option>
<option value="http://www.site.com/file4.html">Menu Four</option>
<option value="http://www.site.com/file5.html">Menu Five</option>
</select>
<input type="button" value="Go" onClick="window.open(this.options[this.selectedIndex].value,'myContent');">
</form>
Then just create an iFrame, or frame with
name="myContent" and when someone selects an item from the window and clicks Go the url will be loaded in that frame or iFrame.
Just remember to change
http://www.site.com/file.html to what page you want to load for each link.