Status bar > Crossing Selection or Window Selection on the Selection toggle.
Edit menu > Region > Window or Crossing
The Selection toggle switches between window and crossing modes when you select by region.
In Window mode, you select only the objects within the selection.
In Crossing mode, you select all objects that are within the region, plus any objects crossing the boundaries of the region. The same meaning holds true for sub-object selection.
Tip: If you're making sub-object selections of faces and you select more faces than you want, make sure Crossing is off and Window is on.
The Selection Region flyout on the toolbar allows you to create differently-shaped boundaries. This setting is saved in the gmax.ini file.