When you find a series of letters you want to select, you click and hold the first letter, and drag toward the last letter you want to include. As you drag, an oval is drawn along your path of movement. When you reach the last letter, you release the mouse button.

If the letters you have selected match a word from the list, then the oval you drew stays on the grid, and the word from the list is marked through and its color is changed. (If you've tried to select a group of letters that isn't on the word list, the oval disappears.)