DynarchMenu incorporates the “iframe hack”, thus you shouldn't experience such problems. Are you using the latest version?
yes, i've got the latest version (2.9) and still got this annoying problem in IE6
I'm not sure what you're doing wrong, but I'm sure we do have protection for this :-) For instance, this demo seems to work fine in IE6, Windows XP SP2: http://www.dynarch.com/demos/hmenu/examples/select.html
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