If I’m understanding correctly I think you would just go in to Products - select the item that has the drop down menu option, then in the General section switch the Option Type from “simultaneous” to “sequential”. You would have to also make that option required, or they can check out with the “Please, select one” option.
For anyone else who finds this post like I did, I believe the latest method to achieve a 'please select' option for select boxes is to go the general settings for the product and under 'Options settings' change options type to 'Sequential'.
Worked for me anyways!