The course selector is something you use when you're tuning into a VOR station. A VOR station has 360 radials (try to look at it as if it is a bicycle wheel with spokes) and in order to choose the radial you would like to refer to when navigating, you have to switch the course selector.
For instance, when flying towards VOR A from the west, you would have to set '090' in the course selector, so it knows you are refering to the VOR A as coming from the west.
The course selector is also used for the localiser part of the ILS (next to the localiser, the ILS also has a glideslope function).
Hope this helps (and that I didn't write any errors over here).
Ivan Coninx - Brussels Aviation Photography