When you need to select several files from different parts of a list, use the Ctrl key when you click. Hold down on Ctrl and single-click the files you want to select. The Ctrl button will permit you to select non-consecutive files from a list.
If you select a file by mistake and need to remove it from your selected list, Ctrl-click it a second time. This will de-select it.
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Not only do these shortcuts work in Windows itself, but they work in many Windows-based software packages. For example, the “Ctrl-Select” and “Shift-Select” (which selects an entire consecutive range) shortcuts can be used in Creative Memories’ Memory Manager software to select photo, video, or audio files.
I’m always amazed at the number of people who have been using computers for years who aren’t aware of this functionality.