Webform no duplicate selections with multiple select lists
You can do it by writing custom module. If you want to go for a contributed module, the Webform Validation module does that

This module adds an extra tab to each Webform node, allowing you to specify validation rules for your Webform components. You can create one or more of the predefined validation rules, and select which Webform component(s) should be validated against those. By using the hooks provided by this module, you can also define your own validation rules in your own modules.
The following validation rules are currently included:
Numeric values (optionally specify min and/or max value)
Minimum length Maximum length Minimum number of
words Maximum number of words Equal values on
multiple fields Unique values on multiple fields
Specific value Require at least one of two fields
Require at least one of several fields Minimum number of
selections required Maximum number of selections allowed
Exact number of selections required Plain text (disallow
tags) Regular expression Must be empty (anti-spam:
Hide with CSS) Words blacklist Must match a
username