As a matter of fact I just used firebug to help analyze the problem. It appears that there are a number of css classes being called which are associated with the div menu but are not defined in any of the stylesheets available in the Telerik install. If I add these classes names to the existing stylsheet in my project, and associate styles, the changes are reflected on the filter dropdown.
<div class="RadMenu RadMenu_WebBlue RadMenu_Context RadMenu_WebBlue_Context GridFilterMenu_WebBlue" style="overflow: hidden; display: none; visibility: visible; z-index: 7000; left: 1048px; top: 65px; height: 220px; width: 247px;">
The ones in bold are the classes not defined. Is there someplace where I can find the original class styles for these (based on WebBlue) so I can tweak them without the headache of recreating the classes from scratch?