You've just about got it actually.. but I would not recommenf 'Event' as a name for the SELECT tag.
Code:
<html>
<head>
<script language=vbscript>
<!--
SUB WhichOption()
IF cboEvent.options(cboEvent.selectedindex).value = "Training" Then
{do something}
Else
{do something else}
End Sub
-->
</script>
</head>
<body background="/images/bground.gif" bgcolor="#ffffff" text="#000000" marginheight="0" topmargin="0">
<select name="cboEvent" onchange=WhichOption() size="1">
<option selected value="Meeting">Meeting</option>
<option value="Training">Training</option>
</select>
</body>
</html>