Follow these steps:

1)Go to the start->Control Panel->Administrative Tools-> data sources.

2)Click Add button and select the driver Microsoft Access Driver(*.mdb).

3)After selecting the driver, click finish button.

4)Then give Data Source Name and click ok button.

5)Your DSN will get created.

6) Restart your server and run the following jsp code.

<%@page import="java.sql.*"%>
<select>
<option value="--Select--">--Select--</option>
<%

Class.forName("sun.jdbc.odbc.JdbcOdbcDriver");
Connection con = DriverManager.getConnection("jdbc:odbc:student");

Statement st=con.createStatement();
ResultSet rs=st.executeQuery("Select * from data");
while(rs.next()){
    String str=rs.getString("name");
%>
    <option value="<%=str%>"><%=str%></option>
    <%
}
%>
</select>