Why change the value and not select the option that has the "clicked" value?
Jan
Feb
Mar
Script:
jQuery('a.cli').click(function(event) {
event.preventDefault();
jQuery('#month option').attr('selected', false);
jQuery('#month option[value="' + jQuery(this).attr('href') + '"]').attr('selected', true);
});
Check it out http://jsfiddle.net/jchiotaka/uaLXU/