There are many strategies available for your task (if you don't focus on the self-balancing tree to begin with).
It's usually a tradeoff speed / memory. Most algorithms require either to modify the array in place or O(N) additional storage.
The solution with self-balancing tree is in the latter category, but it's not the right choice here. The issue is that building the tree itself takes O(N*log N), which will dominate the later search term and give a final complexity of O(N*log N). Therefore you're not better than simply sorting the array and use a complex datastructure...
In general, the issue largely depends on the magnitude of i related to N. If you think for a minute, for i == 1 it's trivial right ? It's called finding the maximum.
Well, the same strategy obviously work for i == 2 (carrying the 2 maximum elements around) in linear time. And it's also trivially symmetric: ie if you need to find the N-1 th element, then just carry around the 2 minimum elements.
However, it loses efficiency when i is about N/2 or N/4. Carrying the i maximum elements then mean sorting an array of size i... and thus we fallback on the N*log N wall.
Jerry Coffin pointed out a simple solution, which works well for this case. Here is the reference on Wikipedia. The full article also describes the Median of Median method: it's more reliable, but involves more work and is thus generally slower.