In IE/Win when you position an element over a <select> element the <select> element remains on top. This bug is fixed in IE7. In IE5.5 and IE6, you can position an <iframe> over the <select> element and then you can position another layer over the <iframe>.
I purposefully made the iframe larger in this demo, so you could see it under the layer. In actual use, it's best to give it the same dimensions as the layer it's under.
I suggest you add the <iframe> with JavaScript. For simplicity, I decided not to do that in this demo.