Value prompt has the prompt name and the border(------------) in the list. You can remove these from the list with Java script.
- Set ID on the property of the dropdown list
 - Add two 'HTML Item'd after the dropdown list
 - Edit first HTML Item as follows
 
<script type="text/javascript">
function go(){
  var combo1 = document.getElementsByName("_oLstChoicesC0")[0];
  var combo1List = combo1.getElementsByTagName("OPTION");
  combo1.removeChild( combo1List.item(1) );
  combo1.removeChild( combo1List.item(0) );
}
</script>
_oLstChoices means a dropdown list. C0 is ID which is set in the property. 
- Edit second HTML Item as follows
 
<img src="http://www.blogger.com/pat/images/blank.gif" onload="go()" />This is to execute Java script on that report.