This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
Are you brand new to JSP? You write the "code" (remember, no Java code in a JSP anymore!) wherever it needs to appear in the HTML markup.
Your question makes me think that this might be your first JSP.
You're also not giving us much to go on. Are the options fixed? If so, just write the HTML for the option elements. Coming from a DB? A properties file? Elsewhere?