@gollum,
If all the file names are in a sequential list then you can click the mouse pointer on the first file name to highlight it, then while holding down the shift key, click on the last file name in the list. This should cause all the file names between the first and last one to also be highlighted.
If you are trying to delete files in your AOL personal filing cabinet, if memory serves me correctly from long ago when I used AOL, you'll need to click the mouse pointer on each individual file name while holding down the Ctrl key. The shift key method doesn't work in the PFC.