Disable select box option

According to the reference books I have looked at, there is a property for the options of a select box called disabled. It doesn't seem to work in IE. Here is an example of what I want to do:

<select name="reqSegment" onChange="document.forms[0].seghold.value = this.value;
setAction('get_entAdd');document.forms[0].submit();">

<option disabled>Select..</option>
<option > auto </option>
<option > life </option>

etc...

Disabled does not seem to work...does anyone know another way? I do not want the form to submit if the value is 'Select.."

Thanks!