I'm trying to get into Blender (I'm used to Maya) but after watching a tutorial where the guy clicks on that icon and a drop down window appears, I got really paranoid because it doesn't happen to me and I don't like that. I know that you can also toggle between the different select modes with W, but I just want my Blender to work properly. It doesn't work whether I'm in Object or Edit mode. I tried restarting and reinstalling Blender but that doesn't work.
Edit: Ah so you have to hold down the mouse button for a second before it appears okay.