Your question words confuses on what you are working on: Pageload says ASP.NET but tag, combobox, datagridview words says winforms!
Code you shared is of Grid!
:doh:
1. Easy way: Handle at DB level in query itself!
example query for data in combobox:
SELECT cbValue, cbText FROM myTable
UNION
SELECT '0' as cbValue, 'Select combobox' as cbText
ORDER BY cbValue
2. Other way: Add the select to the datatable retrieved and then bind it to the combobox. Use Index '0' to add the select to show it at the top.