Here is a start to give you a concept of what you might do.
Replace my hand query with your query from mysql.
<cfset myQuery = QueryNew("Time")>
<cfset newRow = QueryAddRow(MyQuery, 3)>
<cfset temp = QuerySetCell(myQuery, "Time", "{ts
'2007-03-10 10:11:02'}", 1)>
<cfset temp = QuerySetCell(myQuery, "Time", "{ts
'2007-04-10 10:11:02'}", 2)>
<cfset temp = QuerySetCell(myQuery, "Time", "{ts
'2007-05-10 10:11:02'}", 3)>
<select>
<cfoutput query="myQuery">
<option selected="selected" value="#DateFormat(Time,
"MMMM")#">#DateFormat(Time,"MMMM")#</option>
</cfoutput>
</select>