How to select a single unit in Brutal Legend

It is called Interact, It is the fourth starting from top if you rebind them in game.

If you stand close to a squad you press interact, or y with an xbox controller. You can issue individual orders. Found here :

http://brutallegend.wikia.com/wiki/Individual_Orders

Whilst near one or more desired squads, an individual order can be issued by holding down ▲ or y.

When a squad is highlighted, the order is issued by using the directional pad. While the Individual Orders button is pressed down, all nearby units will freeze until it is released. These orders can be delivered while the player is in the air as well - a blue spotlight will appear that can easily roll over several units to select them.

Multiple orders can be given to different groups to be carried out at the same time, provided the / buttons are held down.