Not easily done I am afraid. The problem is Css cannot replace the arrow in a select as this is rendered by the browser. But you can build a new control from div and input elements and Javascript to perform the same function as the select.
Try looking at some of the autocomplete plugins for Jquery for example.
Otherwise there is some info on the select element here:
http://www.devarticles.com/c/a/Web-Style-Sheets/Taming-the-Select/