I have the following code which I do not have access to.
What I want to do is add some text into the first option which is now empty. Text such as \"Select Address\
$("select[name=My_Saved_Billing] option:first").text("Select Address");
Demo: http://jsfiddle.net/VGhdX/
To answer your side question from your comment (if I understand correctly):
how would automatically select the first option that had a value or option text whichever is easier to code
You can do this using the Has Attribute Selector:
$("select[name=My_Saved_Billing] option[value]:first").text("Foo");
The Has Attribute selector will ignore present attributes which contain empty values (so value="" will not match).