In order to use "Select By Location" or "Download Selected" you must first be in the "Map View" of a map. Once there, navigate to the menu icon next to the layer you want to perform the actions on, and click "View Attributes." At the top of the attribute table is another menu icon, which if you click that will give you the options of SQL search, going full screen, selecting by location, and downloading those selected features. When performing "Select By Location," one simply has to draw a polygon on the map and the features within are selected. Clicking "Download Selected" automatically downloads all of those features that are highlighted (or selected) on the map.