To do a border along one side of a select in IE use IE's filters:
select.required { border-left:2px solid red; filter: progid:DXImageTransform.Microsoft.dropshadow(OffX=-2, OffY=0,color=#FF0000) }
I put a border on one side only of all my inputs for required status.
There is probably an effects that do a better job for an all-round border ...
http://msdn.microsoft.com/en-us/library/ms532853(v=VS.85).aspx