I found the control shapes and I see there is a listbox and a "drop down" but I want to save this visio file as html and have a few links that navigate to the different "pages"if possible.  

Is it possible to actually create a dropdown menu and have it rendered in the html?

If you are asking if it is possible to turn a mockup "drop down" or "list" shape into a real HTML "select" control when doing a web export - then no, it's not possible.

If you just need a way to navigate on the exported web page, then note that Visio web export supports multiple pages; you can navigate between those by selecting them in Visio-provided navigation menu. Also, you can use normal hyperlinks to navigate to other locations/pages.