You don't do XULRunner with Visual Studio. You do XULRunner with XULRunner... Or Firefox...
Doing a dropdown list is apparently pretty simple, though:
https://developer.mozilla.org/en/XUL/menulistCode:
<menulist>
<menupopup>
<menuitem label="option 1" value="1"/>
<menuitem label="option 2" value="2"/>
<menuitem label="option 3" value="3"/>
<menuitem label="option 4" value="4"/>
</menupopup>
</menulist>
Like, ZOMG WOAH?
MDC (Mozilla Developer Central; linked above) has a lot of info to help get you started with XULRunner. And I can also get you setup, if you'd like.
Syndrome is written entirely on XULRunner. You could even use that as a starting point for your app.
Re: Always open source? Not exactly. It's ideal, since XUL is an XML dialect, and functionality is provided mostly with JavaScript. However, you can also write XPCOM components in C++, which is compiled (obviously); and then be a total asshat and release your XPCOM-infused XULRunner app without the sources for the XPCOM component, I guess. That sounds like a bad idea to me, but to each their own...