Hi Dan,
Can you provide a code sample demonstrating the problem? What version of IE are you using?
I tried a couple things in an attempt to reproduce the problem, although everything appears to be working correctly.
Example
<%@ Page Language="C#" %>
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN"
"http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head runat="server">
<title>Window with DropDownList</title>
</head>
<body>
<form id="form1" runat="server">
<cool:ScriptManager ID="ScriptManager1" runat="server" />
<cool:Window
ID="Window1"
Runat="server"
AutoShow="true"
Collapsible="true"
BodyStyle="padding: 6px;">
<Content>
<asp:DropDownList ID="DropDownList1" runat="server">
<asp:ListItem>Item1</asp:ListItem>
<asp:ListItem>Item2</asp:ListItem>
<asp:ListItem>Item3</asp:ListItem>
<asp:ListItem>Item4</asp:ListItem>
</asp:DropDownList>
</Content>
</cool:Window>
<cool:Window
ID="Window2"
Runat="server"
AutoShow="true"
Collapsible="true"
BodyStyle="padding: 6px;">
<Content>
Window 2
</Content>
</cool:Window>
</form>
</body>
</html>