The Color Selector is a dialog with tabbed panels providing different color viewing models. Some viewing models require you to click over a color to select it, some provide sliders. The color you have most recently selected appears on the right of the sample area at the top of the Selector window. The left of this area shows the original color.
To set a component's color, display its property sheet, select the property which is expecting the color, drag your chosen color from the sample area of the Color Selector (with the mouse button) and drop it either directly into the property, as displayed in the sheet, or into the editing area at the bottom of the property sheet. Alternatively you may copy (Ctrl+C) from the sample area and paste (Ctrl+V) into the property sheet editing area.