I have yet to be able to figure out HOW to do that!
I have Adobe Reader 6.0. In that there's a "Select Text Tool" icon in the toolbar. If you click on it, it creates a "highlighted" box that you can draw around the text you want to select. Drag the mouse to put the box around the text you want, then copy the text either using "Edit--->Copy" or right-click and "Copy to Clipboard". You can also right-click "Select All Text". Note that this will only work with text that was typed in, not scanned text or images.