But of course you can! Assuming you have created your parameter and have already filled it with the members of your dimension, just make sure you add an extra value as (All) or something like that.
Next, create a calculated field:
IF [Parameter] = '(All)'
ELSEIF [Parameter] = [DimensionName] THEN 'Show'
Drag this calculated field to the filter shelf and filter on "Show." Now when you make a selection (assuming you wish to use drop down), when you select All, the filter will do nothing, but when you select a specific value, the filter will only permit that value to be displayed.
Hope that helps!