The selector selects between navigation with the GPS and Navigation with a VOR or ILS. In other words, it selects where the CDI (Course deviation indicator, the vertical bar in the center of your HSI) gets it's information.
NATOPS describes what the VOR is, but be aware that you don't always find them at the center of the airport. Tinker, being an AFB, doesn't have one.
There are a couple of VORs in the area of Tinker:
The Wiley Post VOR is located 14 miles North West of Tinker. t's frequency is 113.4. If you dial that frequency into your NAV1 radio and select VOR/ILS 1, you should be able to track the radials, or "spokes" of that VOR.
There is another VOR about 11 miles west-southwest of Tinker, the Will Rogers VOR, Frequency 114.1
ILS is the Instrument Landing System. This is a NAVaid which will help you line up on a runway. Unlike the VOR, there is only one possible "spoke" to follow (the LOCalizer), and it is aligned with the runway centerline. The ILS also has a "glideslope" which is a radio beam which will lead you down to the runway in sloping path, usually around 3 degrees. The Glideslope causes another bar to show up on your HSI which will tell you if you're above or below the glide slope.
If you keep the left/right bar (Localizer) and the up down bar (Glideslope) centered, the ILS will lead you right down to the runway threshold.
Not all runways have ILS's.
At Tinker, there is an ILS for runway 35. The frequency is 109.5. Here is a chart or "approach plate" for the ILS approach to Runway 35 ILS RWY 35
There is also a ILS for Runway 17 (the same runway, opposite direction) That frequency is 111.3. ILS RWY 17
When the controller ells you "expect vectors to ILS 35" It meas that he wil give you a series of compass headings to fly, which if you follow, will position you to intercept the LOCalizer for the ILS RWY 35 approach. His "vectors" will place you on the localizer approximately 7 miles South of the airport, and at an altitude which will place you below the glideslope (generally 1500 ft higher then the airport, or about 2800 ft MSL for Tinker) so that as you fly inbound on the localizer the glideslope will come town to you (the GS bar will start to come down from the top of the HSI)
The heading knob on the HSI sets the "heading bug", a little tab, which can be set on any heading around the HSI. This can be used as a quick reference for maintaining a desired compass heading when flying by hand (Keep the "bug" centered on the top of the HSI) or when using the autopilot, if heading mode is selected on the autopilot, it will maintain the airplane on whatever compass heading the "bug" is set to.