On my side, I can select files and do "Buid Selected Files(s)", and it is not grayed out:

But of course only select files which are 'buildable' (e.g. do not select header files, as they on their own are not buildable). So select e.g. only *.c or *.cpp files.
Maybe this is the problem you see (that you have selected files which cannot be built)?
I hope this helps,
Erich