Dropdown label

How can I added label that will not do to the filtering ?
For example I want to filter colors, now I have
Show all
Red
Blue
Black

When I click “Show all” I getting all the colors, I want to have label before it like “Select color” that choosing will do nothing, I want it to look like this:
Select color
Show all
Red
Blue
Black

and the “Select color” will the first to shown