Exactly as Jan has said make sure the field is mandantory and have the first option as empty.
Better to create a query and then call this. This is so that, should you ever need to use that option again to feed another drop down, then something like the below could also help...
SELECT t.* FROM (SELECT '' as ItemId,
'-- select --' as ItemDesc
SELECT something as ItemId,
something as ItemDesc
FROM youTable) as t
ORDER BY ItemId
Then within the drop down within the SQL Query option (data source) add a macro in to call that query (custom table for this example) e.g.