you can't select it or it does not exist? if it does not exist in the drop down you'd need to add the classification first before it becomes available as an option in the list. go to admin > report suites > [pick your report suite] > edit settings > and go to the traffic or conversion variables and you should see a classification entry. click that and run thru the set up for the variable you are trying to classify. once done, return back to your issue and you should see it as an option.
Aren't you seeing the variable? It depends on the report suites selected. The variable should be enabled and its classification created in all the report suites selected. There is an additional factor too. Let's say you have enabled evar1 for classification in Report Suite A and B, however, you have named it as X in A and Y in B. It will just be showing up as X - and if you select that, it will classify evar1 in both A and B.