Use Pick > Object to pick objects. You can also use different pick tools to pick more specific types of objects.
If Face selection is turned on in Preferences > Selection Options, you can pick surfaces by clicking anywhere on them, not just on the wireframe. See Preferences > Selection Options for more details.
Shells and Lights do not have filter buttons and must be set in the option box.
Click or drag to pick components of the types whose filter buttons are pushed in.