The standard way to provide this functionality is through cursors. You would create two cursors, which your users would position to create the selection box.
Is this solution satisfactory for you?
If not, it is possible to do exactly what you are asking, but it will require a bit more implementation on your part. Basically, you use the PlotAreaMouse events to determine when and where the user clicks, drags, and releases. You will have to draw the selection rectangle yourself. Look at
this post to see an example of this being done in the 3D graph. You should be able to use it as a basis for implementation of the same functionality for CWGraph.