How can i add links to all of my options in a dropdown list?

I have this code:

<?php echo CHtml::dropDownList('category','',array(
''=>'Please Select...',

which generates this dropdown menu:
Please select…

How can i add a different url link to each one of those items ?
Thanks in advance.

you can not put links into a dropdown list. Dropdowns are part of a form, that is submitting data.

If you want the selection to result in opening another page, you can submit the form and then redirect to the page based on the selected values.