After starting configuration, Capture window is not displayed when an item (text/image) is clicked.
Update: WebHarvy 5.5 and later versions have a new capture window option to open frames and extract data. Please see the Open Frame option for more details.
This usually happens when the data to be selected is inside a frame. To select data, you will have to find the frame URL and load it directly in WebHarvy. If you have Chrome browser installed then the frame URL can be found as follows.
Load the page in Chrome browser. Right-clicking on the data item which you need to extract should show you the option "View frame source". By clicking on it, it will open the source code in a new tab. Its URL is on the address bar. Remove the "view-source:" prefix from the address bar string to get the frame URL.
Load the frame URL directly in WebHarvy and start configuration. You should be able to select data.