The marquee is a rectangle that can be used to aid selection.
Once the marquee has been positioned, use the Select Expression tool to select entities from their position with respect to the marquee. For example, you can select entities intersecting, partially inside or totally outside the marquee.
The marquee is also required by some tools (for example the Stretch Entities tool) which could operate on only one end of an entity. Place the marquee around the entities, or entity ends, to be modified and then activate the tool you require.
The default colour for the marquee is dark blue, but this can be modified via Options > Environment > Colours - Drawing, Project Marquee.
On activating the tool, simply pick two opposite corners of the rectangle. The marquee remains on display until you specifically remove it; it does not consist of entities, so cannot be deleted in the usual way.
To remove the marquee, start the tool, and then cancel the tool before making the second pick.
This tool does not immediately affect any entities. The selection set is not changed.
Related topics: Marquee, Selecting, Edit > Transform > Stretch Points, Edit > Transform > Stretch Entities