Sometimes you might need to select only a few controls from your wireframe, but there's a control behind them as a background. If you just click and drag, you'll end up moving the background control instead of starting a lasso selection.
One trick to get around this is to start dragging the selection rectangle from an empty area of the canvas. There's also another way: hold the ALT key when you start dragging, and Balsamiq will ignore items behind the mouse, as shown below.
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