I'm assuming that you want to blur the background of the image?
Keep the doggy in sharp focus and remove distractions from the bg?
if this is the case then you've started well by 'cutting' around the aforementioned pooch - however to make this work you have to be very accurate with your 'cutting'.
When making your selection, you need to remember a few things:
1. Use the right tools. Using the Lassoo tool for a selection this complex is frustrating and will never produce the results you want. A good trick is using 'quick mask' (press 'q'). In Quick Mask mode, you can paint out bits you don't want selected (by literally painting them black with the paint brush) it's easy to correct mistakes by 'painting' in white- which will re-select for you. Don't be confused when you paint in black and it shows up a red - when you're in a mask, red means de-selected. When you're done with paining in/out in the mask, press q again to convert it into the marching-ants selection you're used to.
I'm doing a terrible job of explaining this, but give it a try, it's really very intuitive.
2. Take time. Selecting the bits you want to remain in sharp focus is the most important bit of this whole process - the more accurate you are here the better the result will be.
3. Feather. Worried about that harsh-looking edge between what's in focus and what isn't? Go to select->modify->feather and add a 2-3px feather to your selection - you shouldn't really need to do this if you've been accurate enough with your selection, but it can help if it still looks a little too harsh.
However, be careful when blurring out the whole background, because (as in some of your edits) it looks like the Dog's just floating in space. Have a look at some tutorials on creating Depth-of-Field effect, or 'Tilt-Shift' photography effect - they might cover some of what you're trying to achieve.
I'll take some time and have a go at this edit at some point
Cheers!
Mike