Pressing the right mouse button on any icon in the package window brings up a small, context sensitive menu. The exact items it contains depends on exactly where you press it. They all contain options to select or deselect the item, and many let you install, uninstall, query, upgrade, or verify the item you clicked on. There's more information on how to do these things later.
To choose an item from a context sensitive menu, press and hold the right mouse button on a icon. While still holding the right button down, move the mouse pointer over the item you'd like to select (which will then become highlighted). Release the right mouse button to select that item and make the menu disappear.