How do you know if an object has been clicked on?

Ok. So I want select objects being rendered in Direct3D on the screen with the mouse. Is there a way to do this without checking to see whether the mouse is within the boundaries of each and every object in memory? And if that is the only way, would someone be so kind as to provide an idea of how that's done?

Thanks! :)

Found a tutorial!

http://gpwiki.org/index.php/VB:3Dmouse