People who don't work with files on a regular basis have a devil of a time remembering the keyboard shortcut for selecting multiple files. (You hold down the Ctrl key while clicking each individual file.)
Thankfully, there's a "secret" workaround that was introduced with Windows Vista (and is still available in Windows 7). Instead of holding down the Ctrl key, you simply click a checkbox next to each file you want to select. Much easier!
To enable this handy option, open Explorer (remember, Windows-E is the fastest shortcut), click the Organize menu, and then choose Folder and Search Options. Next, click the View tab, and then scroll down until you see Use check boxes to select items. Enable it, then click OK.
Presto! Now, whenever you mouse over a file, a checkbox should appear in the left column. Select multiple files, then drag 'em wherever you want, tap the Delete key, or do whatever else you need to do.
Also, note that you can click the "master" checkbox next to Name to instantly select all the files (as an alternative to the old-standby, Ctrl-A).