this isn't a css selector.you can avoid spelling the id of this by passing it as a context:
this
$('option:selected', this).remove();
http://api.jquery.com/jQuery/
$('#some_select_box').click(function() { $(this).find('option:selected').remove(); });
Using the find method.
This should do the trick:
$('#some_select_box').click(function() { $('option:selected', this ).remove();});