You are traveling down the dark path of becoming a frontend web designer. Turn back before you have to learn the box model and begin to use round_corner.gif with table layouts...
Unfortunately, the "built in" form controls like dropdowns are nearly the nastiest things to handle in HTML/CSS. Don't believe me? Then read the holy scripture of web development:
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There's no simple cross browser solution. You'll either have to cook up some special CSS with multiple engine-specific rules, or pull in a styling library.
Try googling for this: "how to style the selections in a dropdown"