what is the validation that i have to use for dropdown list?

You can also use Javascript to see the selectedIndex. If it's '-1'(if nothing is selected) or '0'(if option 'Select' is selected) then show alert and not allow the submit.

-1 or 0 would be based on how you have implemented the dropdown.

As the others have stated, or, alternatively, set a default.

You can do it by using both javascript and c#.
Here i am using c#.
This is a Very simple example for you..
i have taken 1 button,1label,1 dropdownlist on which i am applying requiredfieldvalidator............


Design

<asp:DropDownList ID="DDlist" runat="server">
   <asp:ListItem   Text="select" Value="None"></asp:ListItem>
   <asp:ListItem Text="Microsoft" Value=" Name"></asp:ListItem>
   <asp:ListItem Text="C#" Value="book "></asp:ListItem>
   </asp:DropDownList>
   <br />
   <asp:RequiredFieldValidator ID="DDListvalidate" Text="Select A value from list" ControlToValidate ="DDlist" InitialValue="None"  runat="server">
   </asp:RequiredFieldValidator>
   <br />
   <asp:Label ID="LblShow" Text="LblShow" runat="server">

   </asp:Label>
   <asp:Button ID="Btn1"  Text="ValidateDDList" runat="server" onclick="Btn1_Click" />

Code

protected void Btn1_Click(object sender, EventArgs e)
{
    LblShow.Text = DDlist.SelectedItem.Text;
}

here what i am doing is,i have assigned value none in dropdownlist and also set it as the initial value for requiredfieldvalidator.....

now whenever you click om button it check dropdownlist ,if it found select here .
it will show error msg.
otherwise show the selected value in the label............
hope it will help you .