Put this in the HEAD section(substitute your form name for myform):

<script language="JavaScript">
function change(){
document.myform.submit();
}
</script>

Put this in the body:

<form name="myform" method="post" action="">
<select name="item" onchange="change();">
<cfif IsDefined("Form.item")>
<cfoutput>
<option <cfif #Form.item# EQ "">selected</cfif>>Choose an item..</option>
<option value="1" <cfif #Form.item# EQ "1">selected</cfif>>item1</option>
<option value="2" <cfif #Form.item# EQ "2">selected</cfif>>item2</option>
</cfoutput>
<cfelse>
<option>Choose an item</option>
<option value="1">item1</option>
<option value="2">item2</option>
</cfif>
</select>
</p>
<p>
<cfif IsDefined("Form.item")><cfoutput>#Form.item#</cfoutput></cfif>
</p>
</form>