Unfortunately that will not work as IE6 gives selects a zIndex that is infinite. You can't put anything in front of it.
If you put the select in an iframe (for IE6 only) that will allow it to work since the main page is in front of the iframe content. You can't just put it in an iframe for all browsers though because Opera 8 has the same problem with iframes as IE6 has with selects.
The simplest fix is to just make sure they never overlap. Alternatively just hide the select when you want something in front.