Owning companies is no different from using them, I think.
Do you have a phone? Then you are supporting a phone company. By buying phone company stock, you are just taking the other side of the deal - you own company, company pays you; you use company's services, you pay company.
There are, of course, 'ethical' funds. There are also Sharia compliant funds.
Unless you are going to actually stock pick, I think it is very hard to do that much which will change anything. You could invest in something like ICLN, which is all about renewable energy. You can buy bonds with local fairtrade companies or solar power coops.
It is very much a sliding scale. Unless you are going to live in a mud hut built with your own hands, using tools you made yourself, wearing clothes you made yourself, you are at least on the scale.
I think, when I'm rich (ha, ha), I will invest anything above my 4% SWR into solely ethical stuff. When (if) we end up buying a house, I intend to put solar panels on the roof. I intend to get an electric car... but not yet, it just doesn't work for me yet. And so on.