It's been a long time since I did any "classic" ASP and I don't have the environment to test this set up, but I think I have the correct syntax. This should be enough to get you going. This file does need to have an ASP extension.
<%@ language="VBSCRIPT" %>
<html>
<body>
<%
Set con = Server.CreateObject("ADODB.Connection")
con.Open "MyAccessDB.MDB"
Set rs = con.Execute("SELECT MyOption FROM MyOptionsLookupTable")
%>
<form action="select.asp" method="post">
<select name="brd">
<option>select one</option>
<% While Not rs.EOF %>
<option value=<% """ & rs("MyOption") & """ %>><% rs("MyOption") %></option>
<%
rs.MoveNext
Wend
rs.Close
con.Close
%>
</select>
<input type="submit">
</input></form>
</body>
</html>