How can I add a "selection component" in Inspector?

http://unity3d.com/support/documentation/Images/manual/class-WindZone-1.jpg

You can see the image above the link.

There is a selection “Mode” in Windzone Component,

But How can I add a script like Windzone “Mode” which can let me select different “mode” or

something else?

In the case you linked, it’s an enum, so something like:

enum Mode { Spherical, Linear }

for declaring the enum, then:

var mode : Mode;

for the variable declaration which will be shown in the inspector