You can select your units by clicking on them directly on the battlefield, or on their icon in the Army Panel at the bottom of the screen. If you wish to select multiple units, press and hold the left mouse button and move the mouse to draw a rectangle around them. You can also add units to an existing selection by holding down the SHIFT or CTRL key, and click on the units you wish to add. Removing units from the selection is done the same way. Finally, if you want to deselect all, simply draw a rectangle on empty terrain.