Hi there,
On the page you are submitting to, you can do an error check, something along the lines of:
<cfif #trim(form.dropdown)# is "Select One"><cfinclude template="oops.cfm"><cfabort></cfif>
Your oops page can prompt them to let them know they must select an option from the list and you could create a back button to return them to the form.
Or
<cfif #trim(form.dropdown)# is "Select One">
You must select an option from the list.
<cfelse>
<!--- Complete the rest of the page --->
</cfif>
Of course, replace "dropdown" with the actual name of the form variable.
Hope that helps!
Jami