The examples i quote in my answer can be found here, i also recommend you read that page carefully to help you with this.
But lets grab an existing example there and change it a bit.
<?php
//you must change the parameters in the get_terms function to get exactly the terms you want
$terms = get_terms("my_taxonomy");
$count = count($terms);
if ( $count > 0 ){
//the onchange value allows you to go to the term page when you select it, if you dont want that, remove it and remove the value in the options too
echo '<select onchange="document.location.href=this.options[this.selectedIndex].value;">';
foreach ( $terms as $term ) {
echo '<option value="'.get_term_link($term->slug, 'CHANGE-THIS-TO-YOUR-TAXONOMY-NAME').'">' . $term->name . '</option>';
}
echo "</select>";
}
//more on the get_term_link function here: http://codex.wordpress.org/Function_Reference/get_term_link
?>
I hope this answers your question.