This may solve the problem:
<style type="text/css"> .iWantaBorder { border:solid 1px red; display:inline-block; } </style>
EDIT:
I tried to replicate the problem, you are right, it does not work on IE8, but if you are in IE8 / compatibility standard, it works on IE7 / QuirksMode standards, this is not so, I donβt know why it does not work on IE7 / Quirksmode standards.
Anyway, the workaround is to wrap the select element with another inline element and place the border on the shell element.
<span class="iWantBorder"> <select> <option>Sample Option</option> </select> </span>
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