I'm pretty new to ASP too, but I know you can mix-and-match tags, so...
Code:
' blah blah, open database connection, get stuff out, open HTML and BODY tags in page, when you eventually get to the box, its something like this:
'while within HTML tag (ASP tag closed)

<SELECT name="test">
<%
for loop = 0 to wherever you want
%>
<option><%=loop%><option>
<%
next
%>
</select>
I know it looks a bit clumsy, I'm not able to test it, but I hope you get the gist of what I'm trying to say.

BTW the bold bit <%=loop%> means exactly the same as
<%
response.write loop
%>