Force user to select option rather than a default

We are having an issue where users are not selecting a shipping option and the default (first) option is chosen by default which is pick up in store for $0. Is there a way to add a default option with no fee that forces the user to select something from the list (Like PLEASE SELECT SHIPPING)? I have added a $0 option with the label PLEASE SELECT but this is still not forcing a selection and people are still continuing to checkout.

Thanks in advance.