This question has been asked many times in the past.
It is an a "feature" in IE
and has been fixed in later versions of it.
If you want to do it you have three choices.
1. Rearrange your page
2. Hide the selects when the menu is opened
3. Add an iframe behind the layer that is appearing on top of the select. [I would find a menu that supports this out of the box.]
Eric