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:
[sourcecode language="html"]
<asp:requiredfieldvalidator ControlToValidate="ddlMyPickList"
Text="*" InitialValue="-1"
ErrorMessage="You must choose a value"
runat="server" ID="rfvDdlMyPickList"/>
[/sourcecode]
Specifically, set it to the Value (not the Text) of the 'please select' item you added.