"To select the settings" means to choose or pick the options or configurations for a particular thing, like adjusting the preferences or options in a device or software according to one's needs or preferences. Full definition
We examined a randomly selected set of households that did not respond, finding that most were eligible for free or reduced - price meals. (educationnext.org)
Open the charm bar, and select Settings > Change PC Settings. (pcworld.com)
From there, click on your name next to your image to get the drop - down menu and select Settings from the menu. (thewindowsclub.com)