Your question is a bit vague, but you can do the following to choose the default option ...
echo $this->Form->input('category_parent_id', array('default' => 'id_of_default_val'));
EDIT
In your editing, to enable the empty option by default, do it as described in the CakePHP Form Helper ...
echo $this->Form->input('category_parent_id', array('empty' => 'choose one'));
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