In a multi-channel separation task with multiple speakers, we aim to recover all individual speech signals from the mixture. In contrast to single-channel approaches, which rely on the different spectro-temporal characteristics of the speech signals, multi-channel approaches should additionally utilize the different spatial locations of the sources for a more powerful separation especially when the number of sources increases. To enhance the spatial processing in a multi-channel source separation scenario, in this work, we propose a deep neural network (DNN) based spatially selective filter (SSF) that can be spatially steered to extract the speaker of interest by initializing a recurrent neural network layer with the target direction. We compare the proposed SSF with a common end-to-end direct separation (DS) approach trained using utterance-wise permutation invariant training (PIT), which only implicitly learns to perform spatial filtering. We show that the SSF has a clear advantage over a DS approach with the same underlying network architecture when there are more than two speakers in the mixture, which can be attributed to a better use of the spatial information. Furthermore, we find that the SSF generalizes much better to additional noise sources that were not seen during training.