Customizing views exposed filter drop down list with css
Unfortunatelly, every browser has its own rendering of drop downs (as well as fileupload boxes). So direct CSS styling of a dropdown element won't work in all browsers. 

What you need to do is to use module called Uniform (http://drupal.org/project/uniform). It provides intergration with uniform library which automatically replaces drop downs, fileuploads, checkboxes and radios with custom styled elements. 

This will give you ability to style these custom elements and make dropdown lists look the way you want in almost any browser. Just check if this works for you.