Here's an example I worked up. Notice that on the top element of the dropdown, you're putting a border around the top and sides of the menu item. On the bottom element, you're putting a border around the bottom and sides.
p.s. - Yes, I know it's better to put the styles in an external stylesheet. I was just being lazy when I did this.
Code:
<select name="SearchFormat" Style="border: 2px solid blue; ">
<option value="Cassette" Style="color: green; border-top : 2px solid blue; border-left : 2px solid blue;border-right : 2px solid blue;">Cassette</option>
<option value="CD" Style="border-left : 2px solid blue;border-right : 2px solid blue;">CD</option>
<option value="CD-R" Style="border-left : 2px solid blue;border-right : 2px solid blue;">CD-R</option>
<option value="DualDisc" Style="border-left : 2px solid blue;border-right : 2px solid blue;">DualDisc</option>
<option value="DVD" Style="border-left : 2px solid blue;border-right : 2px solid blue;">DVD</option>
<option value="DVD-R" Style="border-left : 2px solid blue;border-right : 2px solid blue;">DVD-R</option>
<option value="LP" Style="border-left : 2px solid blue;border-right : 2px solid blue;">LP</option>
<option value="VCD" Style="border-left : 2px solid blue;border-right : 2px solid blue;">VCD</option>
<option value="VHS" Style="border-left : 2px solid blue;border-right : 2px solid blue;">VHS</option>
<option value="45" Style="border-left : 2px solid blue;border-right : 2px solid blue;">45</option>
<option value="78" Style="border-bottom : 2px solid blue; border-left : 2px solid blue;border-right : 2px solid blue;">78</option>
</select>