This might help you: http://individed.com/code/select-improvement/

I wrote it for a specific instance so it isn't super robust, but it could at least get you started.

Edit: Actually, it sounds like you're talking about using this for navigation and not a form. In that case you should be using an unordered list as your starting point, not a select.

You can turn ULs into dropdowns with just css and there are plenty of examples around. Here's one I found after a quick Google: http://www.cssplay.co.uk/menus/final_drop.html