add required field validator as:
<asp:RequiredFieldValidator
ID="your_id"
runat="server"
ErrorMessage="Please Select Value"
ControlToValidate="your_dropdownlist"
InitialValue="-Select-"
Display="dynamic"
Enabled="false">
</asp:RequiredFieldValidator>
Once you bind the datasource to the Dropdownlist, insert first option as "Please Select".
Set the Intial value in Required field validator.
New value can be added in dropdown as follows:
your_dropdownlist.Items.Insert(0, new ListItem("-Select-","-Select-");