I'm not positive that this will work in a windows forms app, but here's how we do it in ASP.NET:
myControl.DataSource = myDataSet;
myControl.DataBind(); // <-- This isn't required in win forms.
myControl.Items.InsertAt(0, "-- Select --");
You should be able to do something similar in a winforms combo box.
-Peter
peterlanoie.blog