Hou could try Select/Color Range, and play around with the fuzziness, then invert the selection, and make a new layer via cut as Lioness said. But the magic wand is going to probably work at least as well, unless you are trying to select something like the sky between th eleaves of a tree, that isn't continous. Hold down the shift key to add to the selection with th emagic wand, and don't confuse it with the lasso, which I think you did.