Selecting a column is not straight forward since a column is not an HTML element. An HTML table is modeled as a set of records displayed one after the other. The columns are only a matter of display.
Instead of selecting a column it is recommended to point a tip at the column's header. If you to allow the user to click on any cell in the column you should read this article.
If you want to create a border around the column and mask the rest of the page you will need to select the entire table and then use the highlight stretch to make it smaller.
Use negative numbers for the left and right to make the highlight "smaller".
IMPORTANT: using the highlight stretch option is not responsive. the pixels you choose are hard coded no matter what the size of the screen is.
You may also need to check the offset of the tip itself because by default the tip will position at the center of the table. To do that use the tip offset setting