I have the same thing. I have set a security question already on my apple ID but if I try to download a new app to my iPhone 3GS it insists on these 3 questions, but I cannot select the third question (just stays blue) so it does not work. I had an online chat with Apple last night and they said they had other complaints but they could not assist properly - they just said try using a computer!
Apple do not seem to be actually doing anything about it though, and I cannot find anyone to actually help which is so frustrating! I can download apps with my Ipad but not iPhone where I need it. The AppleID help pages just go over the basics and do not even have a contact link for more detailled help with this issue. Hopefully then learn about the problem and resolve it soon. I have been waiting for other problems to be resolved with an app (Good for enterprise) since Thursday and now this.