I'm reading Mattila's book "Geometry of sets and measures in Euclidean spaces". At the p. 222 in proof of Theorem 16.2 we have the following proposition:
Let $\varepsilon >0$. Since E ($\mathcal H^m(E) < \infty$) has positive lower density ($\Theta^m_*(E, \cdot) > 0$) $\mathcal H^m$ a.e. on $E$, there are a compact subset $F$ of $E$ with $\mathcal H^m(E \setminus F) < \varepsilon$ and positive numbers $\delta$ and $r_0$ such that \begin{equation}\label{} \mathcal H^m \big( E \cap B(a,r)\big) > \delta r^m \tag{$\star$} \end{equation} for $a \in F$, $0 < r < r_0$.
I know that for a.e. point $a \in E$ there exists a $r_0=r_0(a)$ and $\delta=\delta(a)$ such that condition $(\star)$ holds. Also, Borel regular measures (like a $\mathcal H^m$ in $\mathbb R^n$) can be approximated in the next way: if $\mathcal H^m(A) < \infty$ and $\varepsilon >0$ there a closed set $C$ s.t. $\mathcal H^m(A \setminus C) < \varepsilon$.
I can't understand how to find such set $F$.