this is due to the fact that the page scrollbar is part of the page, and not really a piece of native windows GUI... in the recent betas setting this pref:
pref("nglayout.widget.gfxscrollbars", false);
will force the use of native scrollbars, but it doesn't work very well - the widgets on web pages get pretty messed up sometimes... and i'm not sure if that pref is even implemented on the version of gecko that's used in kmeleon 0.6... you can try it and see.
the other way is to hack at the mozilla resources in the ...\K-meleon\chrome\embed.jar file... there's a thread somewhere on these forums with some details about that, which a search might turn up...
that's about all you can do for now.