I think he means a <select> tag...
If you haven't already read
this, do! Pay attention especially to the second reply:
As Diodeus stated, IE doesn't allow anything but the default border for <select> elements. However, I know of two hacks to achieve a similar effect :
Use a DIV that is placed absolutely at the same position as the dropdown and set it's borders. It will appear that the dropdown has a border.
Use a Javascript solution, for instance, the one provided here.
It may however prove to be too much effort, so you should evaluate if you really require the border.