You can validate a select list using the required not blank selection made validation. The server side would be best. I have crafted an example page of this type of server side validation. Here is what I did.
Once the form was crafted and the select list was in place I added the WA Validation Toolkit > Server Validations from the server behaviors. In here I choose the button pressed trigger then using the select list I choose the required/not blank/selection made validation. I then used the lightning bolt icon to select the select list in my form.
Once it was selected I added the validation using the plus button. When the options window for the validation appeared I unchecked the box for 'allow spaces without characters'. I then clicked ok on the interfaces.
I also added in an error message, then I selected the error message and used the validation show if server behavior to display the message when that validation failed. Here is a link to the example that I created, if you check the source you can see the select list values and how I have them setup.