You haven't shown your
SELECT
statement so I cannot use your column names and I do not know how many columns you are retrieving, so I will offer a couple of alternatives.
Change your SELECT to something like:
SELECT "Select", "<Select Item>"
UNION
SELECT valueMemberColumn, displayMemberColumn FROM yourDB
Or
After you have filled the DataSet but before you bind it to the ComboBox, insert a new row into the table with your <Select Item> in the appropriate column.