The label for the select menu associates the prompt to the menu as a whole (the <select> tag), not to the individual items in the menu.
<form action="mailto:somebody@knowbility.org">
<label for="dogsize">Your dog's size</label>
<select id="dogsize">
<option value="tiny" selected="selected">Tiny</option>
<option value="small">Small</option>
<option value="medium">Medium</option>
<option value="large">Large</option>
</select>
<input type="button" value="Submit" />
</form>