Step 1: Use the formula for self-inductance of a solenoid.
\[
L=\frac{\mu_0N^2A}{l},
\]
where
\[
\mu_0=4\pi\times10^{-7}\,\text{H/m},
\]
\[
N=500,\qquad
A=4\times10^{-4}\,\text{m}^2,\qquad
l=0.5\,\text{m}.
\]
Step 2: Substitute the values.
\[
L=
\frac{4\pi\times10^{-7}\times(500)^2\times4\times10^{-4}}{0.5}
\]
\[
=1.26\times10^{-3}\,\text{H}
=1.26\,\text{mH}.
\]
Hence,
\[
\boxed{1.26\,\text{mH}}
\]
Therefore,
\[
\boxed{(C)}
\]
is the correct answer.