A number of tools are used to interactively select features in your map documents:
Interactive feature selection 
Select for editing 
Identify 
Hyperlink 
HTML pop-ups
They rely on a selection tolerance to select the desired feature when it is within a number of pixels of the cursor location.
Steps for setting the Selection tolerance
Click Selection > Selection Options on the main menu.
The Selection Options dialog box opens.
Specify the number of pixels you want to use as your selection tolerance when selecting features. A value of 3 to 5 pixels usually works well. A pixel count that is too small can be frustrating because it will be hard to precisely position and select features. However, too large of a pixel radius will result in inaccurate selections.
Selection will not necessarily find the feature closest to the cursor; it returns the first feature in the dataset that is within the tolerance.