Thanks everybody for your answers. You bring me value clues.
Finally I opted to make the query directly from wordpress page with the wordpress sintax for the defaults wordpress tables, using a little trick:
Including my custom tables in wp-includes/wp-db.php.
wordpress code:
<?php
global $current_user;
get_currentuserinfo();
$user = $current_user->ID;
global $wpdb;
global $result;
$courses = array();
$result = $wpdb->get_results ( "SELECT * FROM $wpdb->mytable WHERE user_id = $user" );
?>
name
<select>
<option selected="selected">name</option>
<?php
foreach( $result as $value ) { ?>
<option value="<?php echo $value->name; ?>"><?php echo $value->name; ?></option>
<?php
}
?>
</select>