OK, if I follow you correctly you have a data set in which one of the fields is City, and you have a parameter that is a drop-down list of the possible values for City and you only want to have each city show up in this drop-down once.
I would say that in the SELECT statement you use to get your list of possible cities make sure you use SELECT DISTINCT.
If I misunderstood what you were asking for, I apologize.