That would need to be done in javascript.
Shouldn't be too hard...
add unique "id" tags to everything in the form would be step 1, so you can easily grab your data from the fields.
I'm a little rusty with javascript (everything I write in javascript takes five times the amount of time it should), but here's the basic idea:
Code:
<form id="form_loc" name="loc">
Month: <select id="month" name="month">
<option value="01">Jan</option>
<option value="02">Feb</option>
</select><br>
Day: <select id="day" name="day">
<option value="01">1</option>
<option value="02">2</option>
<option value="03">3</option>
</select><br>
<input type="submit" onClick="document.location = 'http://www.mysite.com/index.php?day=' + document.getElementById('day').value + '&month=' + document.getElementById('month'); return(false);">
</form>
That should get your user to the page.
But, if your url really looks like that, then you don't even need to mess around with javascript, creating a standard form and having it submit as a GET request will do the same thing.