IE Dropdown menus ignore keyboard. Why?

In the past I used to click on a dropdown menu inside a web page in my Internet Explorer and then type the first letter of the value I wanted to sellect. This would jump the selection of the menu directly to the first value starting with the letter typed. For example I’d use this to sellect my country from the long list of countries in forms.
Now I moved to Windows 2000 with IE version 5.00.3315.1000.
This feature does not work for me now. I looked but didn’t find a setting to control it.
How can I “fix” this?