A required field seems a bit odd for a dropdown list because it’s got a value whether you like it or not. But when you feel that your dropdown list should have a required value it’s usually because, you’ve given it an initial value of “–please select–” or somesuch and you want to validate that a ‘real’ value has been chosen.
Easy. Set the InitialValue property:
<asp:requiredfieldvalidator ControlToValidate="ddlMyPickList" Text="*" InitialValue="-1" ErrorMessage="You must choose a value" runat="server" ID="rfvDdlMyPickList"/>
Specifically, set it to the Value (not the Text) of the ‘please select’ item you added.