Well, Here is the answer.
Copy this bold script below...
<br/><select onchange="javascript:window.open(this.options[this.selectedIndex].value);"><option value=""/>Select<option value="http://link1"/>link1 name<option value="http://link2"/>link2 name</select>
Don't forget to replace the bold script with yours and change the link and link name with your link and link name.
Then, login to your blogger account, go to Dashboard > Layout > Page Element > Add a Page Element and then choose HTML/Javascript page element. Paste the above script there, give a proper title, and then Save Changes
Simple isn't it?
So, what if I want to add more links?
Ok, If you want to add more links, just copy this script below, and add it just before </select> tag above.
<option value="http://link x"/>link x name<option value="http://link y"/>link y name
It should look like the one I have in the top right corner..
The above script will open each link in a new window. To open the links in the same window, use the script below instead
<br/><select onchange="javascript:window.location.href=(this.options[this.selectedIndex].value);">);"><option value=""/>Select<option value="http://link1"/>link1 name<option value="http://link2"/>link2 name</select>
Enjoy!!
This is without a doubt one of the freakiest PC illusions I have seen so far. 
