Selecting objects can be done in two ways:
Simply clicking on an object causes that object to be selected, clearing the current selection. If you want to select multiple objects simultaneously, hold down the Ctrl key while clicking on an object.
By clicking and dragging on an empty spot on the screen, you can select all objects within the rectangle that is created. This action will clear the current selection. As in the previous case, holding down the Ctrl key allows you to keep the current selection.
When you have more than one object under the mouse (indicated by Which object? in the statusbar and at the mouse cursor), you can easily choose which object select or add to the current selection. Click with the mouse button, while holding the Shift key or click the mouse button, to have a popup with all the objects under the mouse. Then, you can select the object you need. As said before, the behaviour of the Ctrl key will affect the selection.