Why 'Select' is called as DML statement ?

The distinction that people usually make is between DDL (data definition language, i.e. managing schema objects) and DML (data manipulation language, i.e. managing data within the schema created by DDL). Clearly a SELECT is not DDL.

Data Manipulation Language (DML) is a vocabulary used to query/retrieve and work with data. Don't go by the word Manipulation, such statement allows both data accessing and processing. As you have tagged question with SQL Server 2005 following link can be referred:

http://technet.microsoft.com/en-US/library/ms177591(v=SQL.90).aspx