Io credo che voglia una cosa del genere (non badare al codice perchè l'ho buttato li così non sapendo rispondere):
Codice HTML:
<form action="pagina.php" method="get">
<input type="hidden" name="s">
<input type="hidden" name="f">
<select onChange="this.form.submit();" name="s">
<option value="-1">Seleziona un link...</option>
<optgroup label="link sezione 1">
<option value="L11">Link1</option>
<option value="L12">Link2</option>
<option value="L13">Link3</option>
<option value="L14">Link4</option>
<option value="L15">Link5</option>
<option value="L16">Link6</option>
<option value="L17">Link7</option>
<option value="L18">Link8</option>
<option value="L19">Link9</option>
</optgroup>
<optgroup label="link sezione 2">
<option value="L21">Link1</option>
<option value="L22">Link2</option>
<option value="L23">Link3</option>
<option value="L24">Link4</option>
<option value="L25">Link5</option>
<option value="L26">Link6</option>
<option value="L27">Link7</option>
<option value="L28">Link8</option>
<option value="L29">Link9</option>
</optgroup>
</select>
<input type="submit" value="Vai">
</form>
Sinceramente interessa pure a me!