It works for me, with a small change, here is what I did.
In the admin panel Design>Templates>Widgets
I created a new widget called CatDD with the followin code.
CODE
<mt:IfArchiveTypeEnabled archive_type="Category">
<div class="widget-archive widget-archive-category widget">
<h3 class="widget-header">Categories</h3>
<div class="widget-content">
<form action="" name="pulldown1">
<select name="mypulldown1"
onchange="document.location=pulldown1.mypulldown1.options[selectedIndex].value">
<option value="">Select Category</option>
<MTArchiveList archive_type="Category">
<option value="<$MTArchiveLink$>"><$MTArchiveTitle$></option>
</MTArchiveList>
</select>
</form>
</div>
</mt:IfArchiveTypeEnabled>
I then edited the sidebar template to include the widget
CODE
<$MTInclude widget="CatDD"$>