Selecting multiple files at once

You can select multiple files using the mouse and keyboard in the Windows Explorer and in some Open dialog boxes.  See single vs. double clicking.

 Selecting all

Open the Windows Explorer then click one time in the right pane (just to be sure the cursor is in the right panel). On the keyboard, Ctrl A selects all objects in the current window. Be aware that if there are sub-folders in the right panel, they would be selected as well as the files. 

This keyboard combination generally works in applications as well; in Word for example, Ctrl A will select everything in the document.

Selecting a group

Click on the top file, hold the shift key and while holding shift, click on the bottom file. Everything between the clicks will be selected.

Selecting only specific files

Click on the first file then hold the Ctrl key and while holding the Ctrl key, click other desired file(s).

Combinations

You can use a combination of the above, for example, Shift to select a range of files then change from holding Shift to holding Ctrl and pick and choose more files.