Question: `<select><option><input type="checkbox" />Headache</option></select>`

By using the above code i did't get a check box inside a dropdown list.Can you suggest me , how should i proceed.

Answer: 
The reason that didn't work is that form elements don't nest like that. Fortunately, there's a jquery plugin that can do what you want. <http://abeautifulsite.net/2008/04/jquery-multiselect/>
Another approach on top of BalusC's one is to actually develop your own custom UI element. Unfortunately, this is usually (or always?) browser-specific.

I know you can do that for [Firefox using XUL.](http://www.devx.com/webdev/Article/9312/0/page/3)

I'm sure you can do some ActiveX tricks for IE though no clue how.