Window selection is just left clciking and dragging in the viewport. A left window drasg will select "only objects completely enclosed in the window. Ctrl+Shift will disable the snap selection to allow window selecting through other objects.
There's also a video there that shows how window selection works - like Burr mentions though it's pretty straightforward - you just click in an empty area and hold down and drag the mouse.
That window selection method can be useful for selecting a batch of objects instead of only click on them one-by-one and it also works for grabbing obscured objects as well.
