You can simply add a ListItem inside the DropDownList Markup. All the values from the DataSource will be appended after that.
<asp:DropDownList ID="drpClient" runat="server" Width="200px"
AutoPostBack="True" DataSourceID="dsClients" DataTextField="name"
DataValueField="client_id" AppendDataBoundItems="true">
<asp:ListItem>-- pick one --</asp:ListItem>
</asp:DropDownList>