In Autodesk Navisworks, you cannot save any selection or search sets yourself, but you can use the selection or search sets saved in the model.
Selection sets store a group of items for later retrieval. There is no intelligence behind this set - if the model changes at all, the same items will be selected (assuming they are still available in the model) when recalling the selection set.
Search sets work in a similar way, except that they save search criteria instead of the results of a selection. So, if there are any search sets saved in the model, then you use them in Autodesk Navisworks to run the search and select the resulting objects.
Selection and search sets can be named and contain comments. They can also be highlighted with icons in the Scene View, so that when you click on one, the selection set is restored to the active set and all the items within it are re-selected.