In earlier version of Microsoft Visual Studio products if user in text editor hit CTRL+W editor will do select the word where is pointer. Does that keyboard shortcut exists still in Visual Studio 2010?
In Tools | Options | Environment | Keyboard enter "Word" into "Show commands containing" and see all commands associated with words.
Here the command Edit.SelectCurrentWord is assigned to Ctrl + W, but your setup might be different. Ctrl + Shift + W is another common setting.