it displays that way because it is a multiple select list allowing you to select multiple categories.
you could change it to a standard drop down select list, but you would loos the ability to search multiple categories at the same time.
on the products_search.php page, change the code for the select list:
<select name="ProductCategoryID[]" size="4" multiple="multiple" id="ProductCategoryID" >
and remove the size="4" multiple="multiple" attributes:
<select name="ProductCategoryID[]" id="ProductCategoryID" >