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From "Selection Set" you can save selection and select whenever required with the name you saved. You can find this on the top of Max under the menu buttons.
Just select an object and name it in "Selection Set" and press enter. It will save your selection. When you want to select the same object you can click on the name and the object would be selected. This is very useful in complicated environment where so many things and difficult to select the specific object.
YES! press Ctrl key and select one or more object in the view port and put name on it to easy get back for next selection.