Another way is to create a list of what is available using a command object and union the selection with ' All'...I put the space in to push it to the top of the list.
Another option is to put in the parameter description instructions for an ALL option...maybe typing the word ALL. then in the record filter for the report, checking if it is ALL then all records are OK, else check if they meet the criteria.
Or use the description to tell the user to check Null value on the parameter for all, and use Hilfy's suggestion that DBlank referenced.
One of these should get you where you want to go.