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Google is you friend! There are so many results just for this type of question on stackoverflow.

Anyway, you will need to do something liek this:

<select name="Socket_Adapter_Choice" onchange="window.location.href = this.value">
         <option selected value=""></option>
         <option value="Add_Socket_App.cfm">Add Socket Application</option>
         <option value="Add_Adapter_App.cfm">Add Adapter Application</option>
</select>

The problem you might have is if someone selects the blank option you have. Ideally you want the onChange event to fire a function that checks its not blank and then changes the url.

<select name="Socket_Adapter_Choice" onchange="goToPage(this.value);">
         <option selected value=""></option>
         <option value="Add_Socket_App.cfm">Add Socket Application</option>
         <option value="Add_Adapter_App.cfm">Add Adapter Application</option>
</select>

<script type="text/javascript">
   function goToPage(url)
   {
        if(url != '') {
             window.location.href = url;
        }
   }
</script>