There are a lot of ways to do drop down boxes and what to do with them after an item is selected. A basic HTML drop down box is illustrated
here. But that is a form that is sent to a server which then must supply a page and/or the song you want to play.
Another way to do it is with CSS but you have the same issue as above.
The third method involves javascript. The drop down menus above can be used, or they can be created using js, and then the music can be started using js.
The javascript issue needs to be asked on that board. The server issue is a programming issue unless all the music is downloaded with the page (not a good idea due to the length of time to do that). If all the music is already downloaded, then javascript can handle the playing, again something that must be asked on that board.