Check if select has a certain option
You could try and force the option to be selected.  Because jQuery doesn't throw errors when it doesn't have a set of elements, you can use this to your advantage inside an if statement. Couple this with jQuery's chaining and you can do something like:

function setSelect() {
    var desiredOption = $("#selectVal").val();
    if (desiredOption == '') {
        $("#selectVal").focus();
        return false;
    }
    if (!$('#mySelect option[value="' +desiredOption+ '"]').prop("selected", true).length) {
        alert('No such option');
    }
    $("#selectVal").select();
}



  Updated fiddle: http://jsfiddle.net/SPvrA/7/