i have a drop down like this
Yes. As mentioned in the posts, value property is nonstandard and does not work with IE. You will need to use the selectedIndex property to achieve this. You can refer to the w3schools DOM reference to see the properties of HTML elements. The following link will give you the list of properties you can work with on the select element.
http://www.w3schools.com/jsref/dom_obj_select.asp
Update
This was not supported during 2011 on IE. As commented by finnTheHuman, it is supported at present.