You'll actually run the LOV for the prompt off of a separate command instead of off the data in the report. You'll do something like this:
(Select "*All" as City_Name from Dual
UNION ALL
Select City_Name from Cities)
order by City_Name
NOTE: The "from Dual" syntax is specific to Oracle, you'll need to replace with the correct syntax for your database. Using "*All" instead of "All" will automatically sort *All to the top.
Don't link this command to anything in your report. Crystal will complain about it, but it's ok.
-Dell