You can round the select quite easily with border-radius but not the option box or the little arrow.
To make the select round you first have to define the border because the default border is specially supplied and won't round.
border:1px solid red;
lol - I like a challenge
See attachment for a screenshot of a version that works in IE8 and upwards. It requires images though.
I think it would make an interesting quiz as I'm sure some bright spark could come up with something better.