Is there a video that shows how to add a title to a drop down list?

In a User Account when Country is selected eg Australia a list of States populate the States/Region drop down. I'm noticing that many users miss the list as the field is blank. I have tried to add an item to the list "Select a State" however the new entry must have a value and it become a new State and the line above the list remains blank.

How to add a non value prompt?

NOTE: Attachments not working. Couldn't upload images.