First you will make sure you are in the editor for your Web Form. Then you will click or drag and drop the Drop Down Select Element onto your form.
Then after dragging and dropping you will click on the Gear Icon to open the 'Inspector' and set up your various options for the menu.
Please watch the animated image below to watch these steps:
If you are trying to add a Select Menu to a SeamlessDoc (uploaded PDF) then you can reference this article instead.