I see there are some z-index declarations in that sample. They could affect the display of SELECT-s, that is, if SELECT-s have a z-index higher than the menu, then it's normal that they get displayed on top. I can't be sure that this is the problem, but please try to comment-out all z-index declarations in your code and see if it works. Then add them back (if they are really needed) but lower their values.

The DynarchMenu "hider" iframe (which is important for IE to display it correctly on top of selects) has a z-index of 980. Other menu components have 990 (shadows) and 1000 (popup menus)—as you can see, quite close to the values in the sample you pointed out.