Its not done that way.
Typically a "styled" select is merely an element of another type with css colors, gradients, images, etc applied to it to give it the dropdown feel.
for example, you could place an input down in place of it, with a dropdown of your choices.
css
.input.select { background: url('downarrow.jpg') no-repeat right top; }
.selectOptions { display: block; width: 100px; height: 200px; background: white; }
markup
<div>
<input type="text" class="select" value="click me" />
<div class="selectOptions">
<ul>
<li val="some custom value">option</li>
</ul>
</div>
</div>
and in jquery you'd do something like this:
$('input.select').bind('click', function() {
$(this).find('div.selectOptions').toggle();
});
$('div.selectOptions ul li').bind('click', function() {
var val = $(this).attr('val');
// update the input upon click.
var input = $(this).parent().parent().parent().find('input.select');
input.val( val );
});
Of course you could just use someone else's cross browser library that does that kind of stuff already... like jQuery UI.