This is done using client side validation, and using the Conditional Validation response.
Create the list with 2 options. Set the value for option 1 to be blank:
<option value="">option 1</option>
Then open the behaviors panel, click the plus button and apply the following validations:
Required / Not Blank on the select list
Conditional validation: Trigger = Select List. target = text Field
Required / Not Blank on the text field
Show Validation Errors
the key to understanding the different behaviors, is that everything In the Client validations menu like Alpha numeric or Credit card or required not blank is an action.
The behaviors in the main menu like show validation errors, conditional validation or enable disable form element are responses.
I am attaching a sample page to demonstrate.
