I think this would be your solution..
if(ddltype.selectedindex==0)
{
ScriptManager.RegisterClientScriptBlock(this, typeof(Page), "anything", "alert('Please select your gadget');", true);
return;
}
if(ddltype.selectedValue !="")
{ cmd = new SqlCommand("sp_submitquery", con);
cmd.CommandType = CommandType.StoredProcedure;
cmd.Parameters.Add("@gadget", SqlDbType.VarChar).Value = ddltype.SelectedValue;
cmd.ExecuteNonQuery();
ScriptManager.RegisterClientScriptBlock(this, typeof(Page), "anything", "alert('Your Query Submitted Sucessfully');", true);
}