one obivious way is using activeX controls..
but i won't recommend it to avoid dependency.
if you want to do it in pure HTML then sorry no such control exist.
but there is a simple tweak.
by putting a text box in line with list, type the text in text box and b4 actually moving to list you make the matching text(matching exact text or may be first char) selected in your list.
Best Luck..
Nilesh