Which specific index? If you want 'Add New' to be first on the dropdownlist you can add it though the code like this:
<asp:DropDownList ID="DropDownList1" AppendDataBoundItems="true" runat="server">
<asp:ListItem Text="Add New" Value="0" />
</asp:DropDownList>
If you want to add it at a different index, maybe the last then try:
ListItem lst = new ListItem ( "Add New" , "0" );
DropDownList1.Items.Insert( DropDownList1.Items.Count-1 ,lst);