When using the pen tool instead of the lasso tool, there is an extra step. Some find the pen tool easier to use when making a selection.
First, select the pen tool from the tool box
Look on the right at your tool, see highlighted tool, that's the pen tool.
Next, use the pen tool to click around area to that you want to select.
Make sure to connect the point to the point of where you started from
Then, go to your paths (it is by your layers tab)
You will see your outline of what you just selected
Then click on the arrow with lines that is in the upper right corner.
Choose, make a selection, then hit ok
You will now see the "marching ants", the are dashes that are moving. You can use your arrow (move tool) and drag it to where you want it to be placed.