I think there are several things that will help. The first is hip flexor exercises.
http://www.abc-of-fitness.com/leg-st...or-stretch.asp

The second is a lateral hip stretching exercise.
http://www.expertvillage.com/video/8...teral-hips.htm

Finally, core strength exercises. Your stomach muscles (and lower back muscles to a lesser extent) are the foundation of any lateral movements with you legs, especially the higher you try to move your leg in a lateral position.
http://exercise.about.com/cs/abs.--0v/l/blhips.htm
(For this one you don't really need the ball pictured; anything that elevates your feet/legs will work fine.)

There are lots of other exercises that will work, bu these three will get you started and should make an improvement pretty quickly.