help with creating a dropdown box

I havent looked closely at your code but here's one thing i see wrong

<%Dim DataConn
  Dim SQL
  Dim MyRS
  Dim k

 Set DataConn=Server.CreateObject("ADODB.Connection")
 DataConn.Open Application("Connection2_ConnectionString")
 Set MyRS=Server.CreateObject("ADODB.Recordset")
 SQL="select agency From agency"
 MyRS.Open SQL, DataConn,adOpenStatic

%>
<tr>
 <td>Select an Agency
 </td>
 <td>
<SELECT id=select1 name="text">
<%Do While Not MyRS.EOF%>
<OPTION Value="<%Response.Write MyRS(k).Name%>"<%Response.Write MyRS(k).Name%>></OPTION>
<%MyRS.MoveNext%>
<% Loop %>
</SELECT></t

And here's a link that could be interesting:

Fill A ComboBox with DB Information by Joao Vieira - 4/15/1999
http://www.4guysfromrolla.com/webtech/041599-1.shtml