The "Selected" filter is a special filter used to create a unique subset of the data, composed of individuals you have selected to be in the subset.

To use the Selected filter, you check off the records you want to include in the subset, using the check boxes on the left-most column of the list. After you have checked off the records you want to include, choose the Selected filter from the filter drop-down and hit the "search" button.

You will now see just those records you selected displayed on the screen.

Use the Select All/Select None to set or remove all the checks - you do have to do this page by page.

Really complex filter Sets using Selected

If you have a complex, compound search you want to use, the Selected field is a good way to do it.   Run the first filter/search - get the results, then use the Selected field to tag all the results as Selected.  Use the All to do it faster.

Then run you next filter/search - get the results and Select all of those too.

Now if you clear the search and just run the Filter=Selected - you will get the results of the two previous searches combined.