Couple of ways you can do it, this is just 1 way:
mega.css line 19
.gk-menu {
margin:0;
border-bottom:1px dashed #FFFFFF; <--- Added
padding:0 0 6px; <--- Added
You can see I added 2 lines of code for the border and for the padding to push the border down a little bit. This last line will determine how close the border is to your menu.
I haven't checked this in IE, I just did it real quick with Firebug in Firefox, an addon every Web Developer should have.
You could add a div under the menu to create the border as well.