jimmeyer:
Not sure what you're referring to by the entity getting deselected, I'm guessing that you are fairly new to CAD?
Like RichD suggested, use the "pline" command and select the 5 points that are shown, this will initially give you a poly-line consisting of 4 straight line segments. You're not really selecting or deselecting anything, you're telling Draftsight where the endpoints of each of the line segments that make up the poly-line are located. Be sure that you select the points in the order that you want the line drawn. When you have specified all 5 points, exit out of the "pline" command. Then use the "pedit" command and select the poly-line that you want to edit. You'll either have to use the command line and type in the option you want to select or you might get a drop-down menu, I don't have Draftsight in front of me right now so I'm not sure. If you use the command line, one letter of each of these options will be capitalized - type in this leter and hit the ENTER key to select that option. If you get a drop-down menu, just select the option you want. When you select the "Fit" option of the "pedit" command, you are telling Draftsight to draw the smoothest curve that it can that touchs all the endpoints in the poly-line.
If you want to experiment, try selecting the points in different orders and see if you get the results that you expect.
Don