What do you expect from this? You probably want to make an actual method call, for example:
var mailgroup = emails.Where(p =>IsValidFormat(p.Value))
.Select(p => p.Value);
Or, if you just need key / value pairs, you can simply use:
var mailgroup = emails.Where(p =>IsValidFormat(p.Value));
and completely remove the "Select".
If you just need the values (according to the first code snippet), I would suggest using:
var mailgroup = emails.Values.Where(p =>IsValidFormat(p));
Without any brackets, your “Select” link is a group of methods — what you convert to a delegate, for example.
Func<int> x = SomeMethod; // Where SomeMethod is declared as "int SomeMethod()"
Select , ...