Change the select tag's selection using the up/down arrow keys and then tab away from the control or click outside it to make it lose focus. IE will fire the change event.
This is according to the conditions of the DOM Lvl 2 specification: "The change event occurs when a control loses the input focus and its value has been modified since gaining focus."
In DOM Lvl 3 the event has been dropped. Instead it is described in the HTML5 specification, where similar behaviour is defined: a change event should only be fired on an explicit commit action and as part of the unfocusing behaviour.
IE gets this right as well: try using the up/down keys to change the value and then press the enter key for the explicit commit action. IE will fire the change event correctly...
tl;dr: All the other browsers are getting this one wrong. IE gets it right.