How to add validation errors in the validation collection asp.net mvc?

Question

Inside my controller's action I have the following code:

public ActionResult GridAction(string id)
{
    if (String.IsNullOrEmpty(id)) 
    {
        // add errors to the errors collection and then return the view saying that you cannot select the dropdownlist value with the "Please Select" option
    }

    return View(); 
}

UPDATE:

if (String.IsNullOrEmpty(id))
{
    // add error 
    ModelState.AddModelError("GridActionDropDownList", "Please select an option");
    return RedirectToAction("Orders"); 
}

UPDATE 2:

Here is my updated code:

@Html.DropDownListFor(x => x.SelectedGridAction, Model.GridActions,"Please Select") 
@Html.ValidationMessageFor(x => x.SelectedGridAction)  

The Model looks like the following:

public class MyInvoicesViewModel
{

    private List<SelectListItem> _gridActions;

    public int CurrentGridAction { get; set; }

    [Required(ErrorMessage = "Please select an option")]
    public string SelectedGridAction { get; set; }

    public List<SelectListItem> GridActions
    {
        get
        {
            _gridActions = new List<SelectListItem>();
            _gridActions.Add(new SelectListItem() { Text = "Export to Excel", Value = "1" });

            return _gridActions;
        }
    }
} 

And here is my controller action:

public ActionResult GridAction(string id)
{
    if (String.IsNullOrEmpty(id))
    {
        // add error 
        ModelState.AddModelError("SelectedGridAction", "Please select an option");
        return RedirectToAction("Orders"); 
    }

    return View(); 
}

Nothing happens! I am totally lost on this one!

UPDATE 3:

I am now using the following code but still the validation is not firing:

public ActionResult GridAction(string id)
{
    var myViewModel= new MyViewModel();
    myViewModel.SelectedGridAction = id; // id is passed as null           

    if (!ModelState.IsValid)
    {
        return View("Orders");
    }

UPDATE 4:

$("#linkGridAction").click(function () {
    alert('link grid action clicked'); 

    $.get('GridAction/', { SelectedGridAction: $("#SelectedGridAction").val() }, function (result) {
        alert('success');
    });
});

And the Controller looks like the following:

// OrderViewModel has a property called SelectedGridAction. 
public ActionResult GridAction(OrderViewModel orderViewModel)
{
    return View(); 
}

UPDATE 5: Validation is not firing:

public ActionResult GridAction(OrderViewModel orderViewModel)
{
    if (!ModelState.IsValid)
    {
        return View("Orders", orderViewModel); 
    }
    return View(); 
}

Answer 1

Use ModelState.AddModelError()

ModelState.AddModelError("MyDropDownListKey", "Please Select");

and output to the view like this:

<%= Html.ValidationMessage("MyDropDownListKey") %>