I have made certain changes.......... As i like to display in my page....... and value is required.
<select name="day">
<option selected='selected'>Day:</option>
<?php for($i=1; $i <=31; $i++){echo '<option value="'.$i.'">'. $i. '</option>';} ?>
</select>
<select name="month">
<option selected='selected'>Month:</option>
<?php
$months = array('January', 'February', 'March', 'April', 'May', 'June', 'July', 'August', 'September', 'October', 'November', 'December');
foreach($months as $month){echo ' <option value="'.$m=($m+1).'">'.$month. '</option>';}
?>
</select>
<select name="year">
<option selected='selected'>Year:</option>
<?php for($d =2010; $d >= 1910; $d--){echo ' <option value="'.$d.'">'. $d. '</option>';} ?>
</select>