From my personal experience where we tryed to put the border red when an invalid entry was selected, it is impossible to put border red of select element in IE.
As stated before the ocntrols in internet explorer uses WindowsAPI to draw and render and you have nothing to solve this.
What was our solution was to put the background color of select element light red (for text to be readable). background color was working in every browser, but in IE we had a side effects that the element where the same background color as the select.
So to summarize the solution we putted :
select
{
background-color:light-red;
border: 2px solid red;
}
option
{
background-color:white;
}
Note that color was set with hex code, I just don't remember which.
This solution was giving us the wanted effect in every browser except for the border red in IE.
Good luck