try this:

//first get all agents
$agents = new WP_Query(array(\'post_type\' => \'agent\', \'posts_per_page\' => -1, \'order\' => \'ASC\', \'orderby\' => \'title\'));
//then just print out the dropdown:
if ($agents->have_posts()){
    echo \'<select id="agent">\';
    while ($agents->have_posts()){
        $agents-the_post();
        echo \'<option value="\'.get_permalink($post->ID).\'">\'.get_the_title($post->ID).\'</option>\';
    }
    ?>
    </select>
    <script type="text/javascript">
    <!--
        var dropdown = document.getElementById("agent");
        function onCatChange() {
            if ( dropdown.options[dropdown.selectedIndex].value > 0 ) {
                location.href = dropdown.options[dropdown.selectedIndex].value;
            }
        }
        dropdown.onchange = onCatChange;
    -->
    </script>
    <?php
}