Categories in “combobox”

Hi, I’m making my own WP theme and I want to display all categories in “combobox” (don’t know how is this called in XHTM but I mean this this thing.

I know how to create it in XHTML but don’t know enough PHP to fill it automatically with WP categories… Please is there any pluggin which could do this or does anybody have script which could do it? thanks a lot…