That doesn't seem quite right to me, I'd think you would want something like:
$queryData = mysql_query("SELECT SID, StateName FROM State");
echo '<select name="State" id="State">';
while($row = mysql_fetch_assoc($queryData))
echo '<option values=' . $row["SID"] . '>' . $row["StateName"] . '</option>';
But if you're starting out, you really should ditch myqsl calls and use mysqli or PDO instead. Above code assumes you've connected to the database somewhere, and obviously you'd want to check if the query returns something before continuing.