How do I get a drop-down menu to open the links in it in a new window?

I have tried adding TARGET="_BLANK at various places on the form, but to no avail, the links still open in the current window.

I know it's possible if I have a 'GO'-type button that is clicked after an option is selected, but I prefer a drop-down menu that works automatically without having to press the 'GO' button.

<FORM NAME="nav"><DIV>
<SELECT NAME="SelectURL" onChange=
document.nav.SelectURL.options[document.nav.SelectURL.selectedIndex].value" TARGET="_BLANK" >
SELECTED>Please select an option:
<OPTION VALUE="http://CDUK.Best.CD">
CD UK - Music Shopping
TopSites UK - Britain's Best Websites

Can anybody help me please?