There is a separate shoot list for each type of weapon.
When you select AIM-120R (extended range AMRAAM), press T to build the threat-prioritized shoot list for this weapon. The AIM-9X will have a separate shoot list. Press U to clear the current shoot list. You can also add padlocked targets to the shoot list, or manually add targets by clicking them in the attack MFD radar display. Cycle through the shoot list with the C key.
There are three difficulty levels that affect enemy AI and weapon effectiveness. At easy and medium levels, required mission goals are identified with a "T" in the HUD and in the identifier block in MFD's. This is quite useful as there are normally many potential targets, and identifying the required targets can be a problem without the T's (of course this is realistic, but it's not much fun).