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You can easily select shadows or highlights by using a Threshold adjustment layer.
For example, we'll select the brightest areas of the clouds in the photograph below.
Be sure to check off as you go along.
1) Preserve your original file.
If you haven't already done so, go to Preserve Your Original File.
If you haven't already done so, go to Make a Background Copy.
1) Create a Threshold adjustment layer.
Click the Create adjustment layer icon, the half-dark, half-bright, circle at the top of the Layers palette, and select Threshold.
The Threshold window will open.
Your photograph is divided in half.
All of the pixels with brightness values below 128, 50% gray, become black (0).
All of the pixels with brightness values above 128 become white (255).
The white slider in the Threshold window is positioned at 128.

If you move the slider to the left or right, you can select the shadows or highlights.
Here, the slider was moved to the right to select the brightest portions of the clouds.
2) Move the slider to the left or right to select shadows or highlights.
4) Use the Magic Wand tool to select the white areas.
Use a high enough tolerance to select the white areas to their edges.
If you haven't already done so, go to Magic Wand Tool & Tolerance.
Deselect Contiguous in the options bar.
By deselecting Contiguous, all of the white areas are selected.
If Contiguous is selected instead, only the white area that is clicked is selected.
5) Delete the Threshold adjustment layer by dragging it by the blue onto the Trash Can icon.
The marching ants of the selection remain.
6) Go to Select > Feather to feather the selection, if needed.
7) Make changes to the selection, such as using a Levels adjustment layer to modify the exposure or contrast.
The above technique is used in the tutorials below.
Method for Shadows or Highlights Only
If you haven't already done so, go to Saving Files.