1) Play it to the spot where you want to highlight yourself and pause it. (You can use the 'step backward' and 'step forward' buttons to get to the exact spot.) >|| and ||<
2) Click the 'Split' icon (below the preview).
3) Use the 'Tools' > 'Take Picture' feature to create a snapshot. It will save a picture in your 'My Pictures' folder.
4) Edit the image in your favorite image editing program to add a circle, arrow, or whatever.
5) Now return to WMM and drag that picture from your collection in between the split.
6) Change the duration of the image as needed if you want it to pause for a longer or short time.
The result will be that you see action, then a pause with the person highlighted, then the action will continue.