I tried to use a jquery UI datepicker within a jquery colorbox and something strange happened: in Firefox (and Internet Explorer), it was not possible to open the year and month dropdowns. After hours of searching I found a function named trapFocus in the colorbox source code. trapFocus is causing the problem and luckily enough, there is an easy way to disable this:
$.colorbox({ trapFocus: false });
Et voila, it works!