The "Select style" is chosen in the Tools... Options... General menu, the "Search" tab. It is the same at versions 6 and 11, so I'd suspect it to be the same at all points between. You have three options for "Search string initialization". One is "History Retrieval". One is "Word At Cursor". These two are mutually exclusive. When you select "Word At Cursor", you have an additional option for "Selected Text (if exists)". This is the option that you want.
Good Luck!