If you have ArcGIS, you can import your dataset as an X-Y layer and save it as a point feature class using a geographical WGS1984 coordinates system. Then you can create a polygon feature class that you edit and add a polygon that delineates your region of interest (ROI). Finally, you intersect (or clip) both feature classes to extract relevant data. If the region of interest corresponds to an existing geographical feature (e.g. country/state/county/etc border), your best option is to use an existing dataset and select the relevant polygon(s) to define the ROI instead of drawing it by hand.
If you don't have access to ArcGIS (through e.g. a university site license), you can follow roughly the same approach using Quantum GIS (Open Source, GNU GPL license).
MATLAB won't be the most appropriate tool, as it is not a GIS. There is the Mapping toolbox if you have it, that would provide you with several tools, but you won't really be able to select data points "manually by clicking" without having to implement a bit of code (see e.g. section 4-78 of the Mapping toolbox user's gride).
