You have two MAIN OPTIONS when deciding on salutations.
Assuming the first name column on your data extension is called "FIRST_NAME".
OPTION 1. When first name is blank in your data extension, and you want to add a default name so you never get a "Dear ," scenario.
Dear %%[if not empty(FIRST_NAME) then]%%%%FIRST_NAME%%%%[else]%%Client%%[endif]%%,
OPTION 2. You want to simply hide the salutation altogether when the first name is blank and simply begin the first paragraph. Note: You will most likely want a line break so you need to add two HTML breaks immediately after the comma.
%%[if not empty(FIRST_NAME) then]%%Dear %%FIRST_NAME%%,%%[endif]%%
While you could create variables and use set commands in an AMPscript block, not sure that approach makes the most sense here. I personally save these two options as HTML code snippets and add them on the fly as needed.