One should exercise caution in the selection of friends.
Literal
Friend [possessive-の] selection [in-においては] carefully be [should-べきだ].
~において is a formal postposition meaning 'in, at, regarding' — more elevated than で. With は (においては) it topicalizes the scope. 注意深くある uses the adverbial く-form plus ある to mean 'be careful' — a formal written construction.