To require a customer to select one of the answers within your Checkout Question dropdown simply make sure the first value entered within the Default Answer field is a semi-colon ( ; ).
For example, if your dropdown question was "How did you hear of our site?" and your current answers are entered as:
Choose One;Referred by a Friend;Search Engine;Magazine Ad;Other
Change the answers to:
;Referred by a Friend;Search Engine;Magazine Ad;Other
(Note the semi-colon at the beggining of the text.)
Then when your customers go through checkout they will see the Checkout Question "How did you hear of our site?" followed by a blank dropdown.
If they do not select a value within the dropdown before clicking the "Next Step" button to continue through checkout the validation will catch this and prompt the customer to select an answer to the question.