Option #1

Highlight the icons by using the drag feature of your mouse.

Option #2

Click the icon (so it is highlighted), hold down the CTRL key, and then select additional files in any random order.

Option #3

Select the first file you want by clicking the icon for that file once. Hold down the Shift key and select the last file you wan to include. This will automatically select all files and folders in between. (By using the Shift key the files cannot be selected randomly.)

Option #4

Select the Edit Menu from the active window and click Select All (keyboard shortcut Ctrl+A).