There are two ways to circle words/phrases that you have found:
Click and hold on either the first letter or the last letter of the found word and drag to the other end of the word. Once you have a circle covering the whole word, let go of the mouse button. If it is a word in the list, the circle you have made will dim slightly but the word will stay circled. Otherwise, the circle will disappear.
The second way to circle a word is to right click (Control-click on single button mice) on the first letter of the found word. A contexual menu will appear listing all the words that have not been found that begin with that letter. Select the word that you have found from the list and it will be circled for you. If you happen to select a letter that really isn't the beginning of the word you choose from the contextual menu, no word will be circled.