Sorry if this is obvious, but there is no "Select a Folder" button. "Select a Folder" is static text. The button to click is "Select".
I do find this UI style slightly confusing. You should be inside a folder, looking at all the things inside that folder, then click "Select". I would expect to highlight a folder, but not open it, and tell the system "this is the folder I want". But that's not how this works.
I (wrongly) assumed the "Prefs -> Library -> Load music from folder" button was meant. As matthewexon says, navigate into the folder you want and press "Select".