Use
You can use this function for Repository objects only. It does not apply to Customizing requests.
Prerequisites
You are in the request overview.
Procedure
To include objects of your choice in a request, proceed as follows:
The Include Objects in Request <Request Number> dialog box appears.
The Object Selection screen appears.
The objects found are displayed in a hierarchical overview.
Result
The selected objects are included in the request.

You can also choose the function for choosing objects freely from the Transport Organizer tools under Objects in Requests ® Include Objects in a Transport Request.
Also read the warning in the section
Including Objects in a Request.