Via Options and the Show Advanced command item you have more power over the selection process. Clicking the Show Advanced button will enlarge the window to include the selection pane. The selection pane contains a list of all selected items.

From here you can delete items from the list  or manage the order of the selected items by using the(up), (down) and (sort) buttons, or by dragging and dropping the selected members.

Double-clicking an item will highlight the corresponding member or level in the left pane.

Note: rearranging the order of the items is only meaningful when the hierarchy is located on one of the axes, as this will be the order on which they are displayed on the axis.