The only way I think* you can achieve this is with a plugin, I happen to know of an amazing one: http://formstone.it/components/selecter
A normal select box is very hard to style... soon though we will have the power to do so with the infamous Shadow DOM. Here is a normal select menu with the power of JS added (Thanks to Ben Plum).
There are external files included in the "resources", feel free to grab them
http://jsfiddle.net/wChTk/
<div class="row">
<div class="col50">
<select>
<option value="de_DE-test">Category 1</option>
<option value="en_US-test">Category 2</option>
<option value="es_ES-test">Category 3</option>
<option value="es_MX-test">Category 4</option>
<option value="fr_FR-test">Category 5</option>
<option value="fr_CA-test">Category 6</option>
<option value="it_IT-test">Category 7</option>
<option value="pt_BR-test">Category 7</option>
<option value="sv_SE-test">Category 7</option>
<option value="zh_CN-test">Category 7</option>
</select>
</div>
</div>
I hope this helps!