Since a PCB layout typically consists of many densely packed elements stacked on top of each other, it can be difficult to select the exact items you want. Selection filters help solve this problem.
From the Filters menu in the Selection flyout, you can choose which objects you want to select. This is especially useful for selecting all objects of the same time (ie. vias) and doing a bulk-edit. Or if you wanted to prevent yourself from selecting something (ie. pours) but still have them visible.
When you click on a point in your layout that has multiple stacked objects, a little menu pops up to help you select the intended item.
Check out the article on using Ctrl and Shift to select multiple items.