Oops, turns out it was a plugin that was doing it.
The problem was caused by WordPress adding <p> tags into the code. I solved this problem using the Disable wpautop Plugin.
Thanks, but that solution is not working. I want to put a border around the archives widget and change the background color, but when I style the .widget_archive, the .widgettitle shows up inside it. Is there anything I can do with the .css or can someone help me find the actual code that generates the widget so I can add a div to it?
<li id="archives-3" class="widget widget_archive">
<h2 class="widgettitle">Archives</h2>
<select name="archive-dropdown" onchange='document.location.href=this.options[this.selectedIndex].value;'> <option value="">Select Month</option> <option value='http://www.atozenglish.jp/wordpress/?m=201005'> May 2010 (12)</option>
Thanks so much! Worked like a charm.