To select a series of sequential messages, click the first email in the series, hold down the Shift key, and then click the last email in the series.

Additionally, to select multiple, non sequential, messages, hold down the Ctrl key in Windows or the command key in macOS, and then click each individual message.

Outcome

After you have selected multiple messages, you can perform an action on all the messages at once, such as deleting or moving the messages to a separate folder.