Default Category Widget using Dropdown

Hi,
Not sure if I'm allowed to ask this on your website. If now, I apologize in advance.
Here's the question:
I am using the default WordPress Category Widget and have selected the dropdown option. I would like to change the default hover color blue to another color that matches my theme. How do I go about doing this? Javascript? I've tried using CSS but I guess that you can't really style <option>
Thanks for your help or directing me elsewhere.

Pete