In the VB editor window, there should be a frame on the left hand side that
displays the project objects. If it's not showing, Ctrl-R will bring it up.
You'll see the name of your workbook as one of the VBAProject folder items.
Under that (when uncolapsed), is a folder titled Microsof Excel Objects,
under which you find the sheet and workbook objects in your file.
Double click the sheet where you want to add a Selection_Change event to
open its code window. With that frame's upper left dropdown, select
Worksheet. With the upper right dropdown, select SelectionChange.