Shift-click is the standard to select multiple, contiguous items, including files in the Finder.
However, shift-click doesn't select contiguous files if you're in icon view - presumably due to the ill-defined concept of 'contiguous' in this setup.
So if you're in icon view, shift-click might not do what you want - in which case either switch to list view, or just drag an area on the window to contain the iterms you want to select.
Depending on view used you can:
- click first, shift-click last (adjacent files}
- drag round (adjacent files)
- click first, command-click others (non-adjacent files)