You have to set the InitialValue
for the selected item's Value
that is selected first:
<asp:RequiredFieldValidator ID="RequiredFieldValidator1" runat="server"
ControlToValidate="DropDownList1"
InitialValue="-- Please select --"
ErrorMessage="Please select something" />
<asp:DropDownList ID="DropDownList1" AppendDataBoundItems="true" runat="server">
<asp:ListItem>-- Please select --</asp:ListItem>
</asp:DropDownList>