You could try adding a custom objSize object to the objSizes collection that has ID = 0 and value = "Select size..." as it's ID 0 it should be at the top (I think) and won't clash with any values in your database, upon saving the record you can validate the combobox to avoid writing the "Select size..." object to your database. I'll have a bit of a code and see if this will work...
Ok, I've had another look. You can do as I suggested but you must sort the list before passing it to the combobox. Here is my example:
Public Class Form1
    Private Sub Form1_Load(sender As Object, e As EventArgs) Handles Me.Load
        With Me.ComboBox1
            .DisplayMember = "Description"
            .ValueMember = "ID"
            .DataSource = GetListOfObjects.returnListOFObjects
        End With
    End Sub
End Class
Public Class dummyObjectForCombo
    Public Property ID As Integer
    Public Property Description As String
    Public Sub New(ByVal id As Integer,
                   ByVal description As String)
        _ID = id
        _Description = description
    End Sub
End Class
Public Class GetListOfObjects
    Public Shared Function returnListOFObjects() As List(Of dummyObjectForCombo)
        Dim col As New List(Of dummyObjectForCombo)
        Dim obj0 As New dummyObjectForCombo(-1, "Herp")
        Dim obj1 As New dummyObjectForCombo(1, "Jamie")
        Dim obj2 As New dummyObjectForCombo(2, "Bob")
        col.Add(obj1)
        col.Add(obj2)
        col.Add(obj0)
        'using a lambda to sort by ID as per http://stackoverflow.com/questions/3309188/c-net-how-to-sort-a-list-t-by-a-property-in-the-object
        Return col.OrderBy(Function(x) x.ID).ToList
    End Function
End Class
I've used -1 as the topmost record instead of 0. 
So you'd get your list as usual, add in the extra dummy record, then sort it as per the above code before assigning it as your combo boxes datasource.