Hi Dottie,
Hilary is off until September 1st.
First off, you should add a dropdown to pre-filter your multi-selection box to reduce the total amount of records. 3000 records is not going to work well in IE. The fact that it works in FireFox just means that FireFox is more efficient at displaying that control, but you really should not expect any browser to do well with thousands of records in dropdowns.
It's easy to pre-filter. Just have the users select a category or something and use that to reduce what you display in the second dropdown.
That's the best practice.
:)