Credo che dare il focus al body basti.

codice:
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">

<html>
<head>
<title>Untitled</title>
</head>
<body id="myBody">
<select id="sel" onchange="document.getElementById('myBody').focus()">
 <option value="1">1</option>
 <option value="2">2</option>
 <option value="3">3</option>
 <option value="4">4</option>
 <option value="5">5</option>
 <option value="6">6</option>
 <option value="7">7</option>
</select>      
</body>
</html>