Strange. The typical steps are:
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Extract your form files.
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Edit the view .xsl file to remove the blank option, and then save.
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Right-click the manifest.xsf file and choose Design.
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Republish as an XSN or to SharePoint or whatever.
The Blank option should not come back unless you modify the drop-down list box control in the designer.
However, are you using this as a browser form? I have never tried this with a browser form, and it might be something specific to that.