If the files you want to delete are adjacent, you can left click on the mouse and hold down shift key, then click on the last file. (eg, you want to delete file ABCD....Z, you just need to click on A,make it highlighted, hold down shift key, click on Z). They all are selected and you just need to click on Delete to get rid of them all.
If you wanna delete file A D C G. you can click on file A, make it highlighted, then hold down ctrl key. click on DCG one by one. Make them all selected. Click Delete.