Actually, there can be no tags within the <option> tag so using the standard select box, you cannot do something like that. If you need it desperately, there are javascript select boxes, it should work there. Funny enough, I got this useless solution to work in my Mozilla 1.4 (IE6 and Opera 7 ignored it)
<select style="font-size: 20px; width: 100px;">
<option style="background: url(../images/MyImage.jpg);"> </option>
</select>