The select box is not yet created at the point you are trying to reference it, one way to get round this would be to place you code in a function & call it once the page has loaded...
Code:
<head>
<title></title>
<script language=JavaScript>
function Init(){
var myOptions = document.thisForm.mySelect;
}
</script>
</head>
<body onload="Init();" bgcolor="#FFFFFF" text="#000000" link="#0000FF" vlink="#800080" alink="#FF0000">
<h1></h1>
<form name="thisForm">
<select name="mySelect">
<option value=0 selected>0</option>
<option value=1>1</option>
<option value=2>2</option>
</select>
</form>
</body>
HTH,
Chris