You can select multiple files in Windows Explorer by using the Shift or Control keys to select blocks of files or individual files. But one errant click and all of your selections are gone. To keep your selections from getting blown away, Explorer in Vista has an option you can enable that puts checkboxes next to the files. With the checkboxes you make multiple selections the same way, but you don't have to worry about them all getting unselected.

To enable this feature start Windows Explorer select the "Tools" menu, and then select "Folder Options". Once you get the "Folder Options" dialog, go to the "View" tab. In the "Advanced Settings" section scroll down to the entry called "Use Check Boxes To Select Items" and check the box next to it. Click "OK" to save this change.