You should use onchange handling the select control, not the onclick handling the option element. IE has a bug, does not allow onclick as a native option's event. I am not very sure what you have in mind, but maybe this will do the job:
Code:
<select onchange="this.form['content'].value+=this.value">
<option value="[COLOR=GREY ]TEXT HERE[/color]">grey</option>
<option value="[COLOR=Red ]TEXT HERE[/color]">red</option>
.....
</select>