Pre selection highlight i believe is part of Maya 2008 , but multi selection which includes being able to hightlight whatever you mouse over rather than the component mode you are in requires extension pack 2 for 2008.
You can turn pre selection highlight on or off in the preferences under Window then Setting/Preferences then highlihgt selection .

If you are not using Maya 2008 then you could use the NEX plugin made by digitalraster, although this is not a free plugin.