Refer this code
Javascript
<script type="text/javascript">
function Validate() {
var ddl = document.getElementById('<%=DropDownCheckBox.ClientID%>'); // Replace DropDownCheckBox with your Control Id
if (ddl.selectedIndex == -1) {
alert('Please Select a Value');
}
return false;
}
</script>
HTML
<asp:Button ID="Button1" runat="server" Text="Validate" OnClientClick="return Validate()" />