Take a look into this nehe tutorial item. It is very complex, but it shows how opengl picking works. In my opinion, if you need it, you are better with some game engine then with opengl.
Here is another (similar) way of selecting items in opengl.
opengl mouse raytracing will provide you with all details how to select items in opengl. This thread even provides the code how it is done :
Vector3 World::projectedMouse(float mx, float my){
GLdouble model_view[16];
GLint viewport[4];
GLdouble projection[16];
GLfloat winX, winY, winZ;
GLdouble dx, dy, dz;
glGetDoublev(GL_MODELVIEW_MATRIX, model_view);
glGetDoublev(GL_PROJECTION_MATRIX, projection);
glGetIntegerv(GL_VIEWPORT, viewport);
winX = (float)mx;
winY = (float)viewport[3] - (float)my;
glReadPixels ((int)mx, (int)winY, 1, 1, GL_DEPTH_COMPONENT, GL_FLOAT, &winZ);
gluUnProject(winX, winY, 0, model_view, projection, viewport, &bx, &by, &bz);
Vector3 pr2 = Vector3(bx, by, bz);
glColor3f(1,0,0);
glBegin (GL_LINE_LOOP);
glVertex3f(player->getPosition().x, player->getPosition().y + 100, player->getPosition().z); // 0
glVertex3f(pr.x,pr.y,pr.z); // 1
glVertex3f(player->getPosition().x, player->getPosition().y, player->getPosition().z); // 0
glEnd();
return pr;
}