That may, I would have thought, require a little more involvement including a few templates to edit and digging through the relevant javascript file that it talks to.
1. You would need to create in .tpl a default OPTION, say "Please choose".
2. With the js if the OPTION still remains as "Please choose" prompt with an alert.
There's probably more to it than that. But i haven't got 4.0 code on me
