If you click on "Advanced" on the form control settings, you should be able to check "Add (select country) record on the first position" which will give the Country a "(Select Country)" option first. The state is still going to start with alabama but at least prevents users from just hitting submit and it going through.
Otherwise you can just use the Drop Down List and bind them to a SQL statement along the lines of the below:
CountryID: Drop down, on the bottom say "Has Depending Fields" checked, set the values to a SQL:
Select null as TheValue, '(Select a country)' as TheText
UNION ALL
Select CountryID as TheValue, CountryDIsplayName as TheText
FROM CMS_Country
and for the State, set it to depend on another field, (Visible on CountryID.Value > 0)
Select null as TheValue, '(Select a state)' as TheText
UNION ALL
Select StateID as TheValue, StateDisplayName as TheText
FROM CMS_State where CountryID = {% Convert.ToInt(Fields["CountryID"], -1) |(identity)GlobalAdministrator%}