You need to assign the variable to a cookie, I assume you have done this already
<% var1 = request.cookies("cookiename"

%>
now you can generate the "SELECTED" part of the option based on the variable:
<select name="name">
<option value="value1"<% If var1 = "value1" then response.write(" selected"

%>>value1</option>
<option value="value2"<% If var1 = "value2" then response.write(" selected"

%>>value2</option>
<option value="value3"<% If var1 = "value3" then response.write(" selected"

%>>value3</option>
</select>
Since the ASP is discerned first, what will be written to the browser will be based on your variable. So if your cookie contains the text "value2" the generated HTML will be:
<select name="name">
<option value="value1>value1</option>
<option value="value2" selected>value2</option>
<option value="value3">value3</option>
</select>
Hope this helps,
BDC.