Mani,
You can add a option tag like this.
yourselectboxname.Items.Add(new ListItem(\"text\", \"value\"));

Hi,
Friend check out script below... its working nice for me.

conn.Open();
SqlCommand mycommanddis = new SqlCommand("select VLocation from table where VPublication='MainSite' group by VLocation", conn);

selLocation.Items.Add("--Select--");
selLocation.DataTextField = "VLocation";
selLocation.DataValueField = "VLocation";
selLocation.DataSource = mycommanddis.ExecuteReader();
selLocation.DataBind();
selLocation.Items.Add("--Select--");

if (Request["chkID"] != "")
{
selLocation.SelectedValue = Request["selLocation"];
}
else
{
selLocation.SelectedValue = "--Select--";
}
conn.Close();