The best way to make a selection menu accessible, is to have a submit button. But this may be a solution if space or style does not permit that.

As far as I know, this is only a problem with IE.

Using IE select the menu from the keyboard (with the tab key), and try the down arrow, to see it in action.

(Here is a hidden submit button for users without javascript.)

If this does not work for you, please let me know what browser and OS

Problems

As far as I know there is no way to open the select box on the Mac.

Plan B

A possible solution could be that instead of an alert make the script extract info from the select and then produce a new page with ordinary links.