The word "select" means "choose":
Which option have you selected?
"Select" is a little more formal than "choose".
It also suggests choosing something from a list or a group of options, like a menu. "Choose" can be used in the same way as "select". But you can use "choose" to talk about yes-or-no choices:
I chose not to go.
It's less common to use "select" in this kind of situation.