At least in the USA:
You could say "optional" or "elective" (not selective, but it would be understood what you mean).
Sometimes we just abbreviate "elective courses" to "electives." For example:
In my 4th year of High School, I was aloud to take 4 electives along with 2 required classes.
Course, class and lesson can sometimes be used interchangeably, however I feel that there are some slight differences between each of the terms.
Course - a whole set of lessons/classes that make up the curriculum within a given semester.
Class - a single instance or day in which you are being taught. Also the location where a course takes place.
Lesson - instruction over a specific topic, such as a lesson over "English phonics."
These are my impressions for each of these words. I hope my explanation makes sense. Please let me know if there is anything that is unclear.