Iccsi,
AutoComplete widgets typically don't use SELECT elements; they usually build off of a standard text input box. While I strongly discourage using <CFINPUT> (or any of the built-in ColdFusion UI tags), it does have an "autosuggest" attribute that triggers the type of behaviour you are looking for. However, I would recommend looking at using jQueryUI's "autocomplete" widget, TwitterBootstrap's "typeahead" widget, or any number of other JavaScript/CSS AutoComplete solutions.
HTH,
-Carl V.