this is a limitation in the ways iFrames work in Internet Explorer.
An iFrame is a windowed object so will always be displayed above other elements on the page, the iFrames stacking order on the page is always going to be in front of everything else.
if you must use an iFrame, you could use javascript to hide it while the mouse is over the menu.
add an id to the iFrame:
<iframe width="428" height="321" src="http://saintkelley.jalbum.net/Finished%20Wood%20Slideshow" frameBorder="0" scrolling="no" id="myIframe">
then add mousover and mouseout events to hide and show the iFrame on the main menu UL:
<ul class="level-0" id="cssmw" onmouseover="document.getElementById('myIframe').style.display='none' " onMouseOut="document.getElementById('myIframe').style.display='block'">