There are three main ways to accomplish this:

1. To select just a handful of files, hold down the Ctrl key as you click each one in turn.

2. To select a large number of files, click the first one, hold down the Shift key, and then click the last one. (It's okay if you need to scroll in between the first and second steps.)

3. Click and hold in an empty area of the window, then drag a box around the files you want to select. Of course, depending on your selected view (icons, for instance), it may be impossible to "box" the exact files you want. No worries: After drawing your box, hold down the Ctrl key and click individual files to add or remove them from the selected batch.

This may seem like Computing 101 to some of you, but I've encountered a surprising number of users who don't know how to perform this very basic operation. If you're one of them, leave a comment letting me know, and I'll be sure to include more of these kinds of tips down the road.