Add
AutoPostBack="true"
in your DropDownList aspx code. Like this ..
<asp:dropdownlist id="DropDownList1" runat="server" onselectedindexchanged="DropDownList1_SelectedIndexChanged" autopostback="true" xmlns:asp="#unknown">
<asp:listitem text="-----Select-----" value="0"></asp:listitem>
</asp:dropdownlist>
-- Updated Answer
Your camparison is wrong. For the below dropdown value
DropDownList1.SelectedText would be "Exclusive Content"
whereas
DropDownList1.SelectedValue would be "http://professionaldirect.microsoft.com"
<asp:ListItem Text="Exclusive Content" Value="http://professionaldirect.microsoft.com">
Try changing this
if(DropDownList1.SelectedText=="Exclusive Content")
{
Response.Redirect("http://professionaldirect.microsoft.com?Value="+DropDownList1.SelectedText)
}