you can make a static or dynamic list.
The static list you manually create the options and would need to choose to update the report to add new options.
IMO those are best for select options that are not data dependent but rather user design dependant, like choosing a sort order, or between pre-determined age range, etc.
Or you can use the dynamic option which will build the list dynaically based on the values in your data set. When your data set vlaues change then the pick list changes too.