The problem only takes place with Internet Explorer, and it can be seen here:

http://www.photura.com/index.php?id=tv_lcd

Even though the menus on the left have a high z-index, they always end up below any list with <u><li></li></u>, like the ones on the right side. Click on Car audio/video and then Car stereo, and you'll see what I mean.

This doesn't happen in Internet Explorer, not Firefox, or Opera

You forgot to put a semicolon in after your z-index value. It should be as simple as that. But you have a lot of validation errors on your page, too, that once you get that resolved you may wish to attend to.

tim