Hi Don,
If you are using default Kentico Forms, you can simply select Dropdown form control and make it required. Then, in Datasource add something like this:
;(please select one)
1;value 1
2;value 2
3;value 3
NOTE: That on first item (before ';') you don't have any value, which means that default value for first item will be empty, and because you marked dropdown as 'Required', that will trigger validation for the form and won't allow you to submit it.
Best regards,
Dragoljub