First see the Dropdownlist
<asp:DropDownList ID="DropDownList1" runat="server" AppendDataBoundItems="True">
<asp:ListItem>--Select--</asp:ListItem>
<asp:ListItem>Pen</asp:ListItem>
<asp:ListItem>Pencil</asp:ListItem>
<asp:ListItem>Rubber</asp:ListItem>
</asp:DropDownList>
Then for validate see the requiredfield validator
<asp:RequiredFieldValidator ID="RequiredFieldValidator1" runat="server" ControlToValidate="DropDownList1"
ErrorMessage="Value Required!" InitialValue="--Select--"></asp:RequiredFieldValidator>
<asp:Button ID="Button1" runat="server" Text="Button" />
</div>
We need to set InitialValue property of the RequiredFieldValidator with the InitialValue of the DropDownList to make it work