You can select any units visible in the main window. You must be in the unit layer and have an empty selection cursor:
In the Layer menu, select Unit.
Right-click or press the [ESC] key. This leaves an empty selection cursor.
Click on the unit you want to select.
Click and drag a selection rectangle around the units you want to select.
Hold [SHIFT] and click on or drag a selection rectangle around the units you want to select.
Hold [SHIFT] and click on or drag a selection rectangle around the units you want to deselect.