Deselecting is simply a matter of removing the current selection from your image canvas. The image will remain the same, but the dashed borders of the selection will be removed.

 

When you are finished with a selection, or would like to try to create a new selection, just right click on the image and choose the Deselect option to remove the current selection from your image. You can also choose Select -> Deselect from the menu bar to accomplish the same thing. (If you prefer shortcut keys, press Ctrl + D.)

 

Interestingly, your deselect actions will be recorded in the Photoshop history palette. If you delete the deselect history item from the history palette, the selection will once again appear on your image.