Hold down ctrl and left-click an item in the message list to select it. You'll then see it will be highlighted. If an item is already selected and you want to deselect it, you can hold down ctrl and left-click it. As in, ctrl + left-click toggles the selection for an item.

If you want to extend a selection of messages, hold down shift and click an item above or below the selection. It can be way above or way below the selection. It doesn't have to be the next message for example.

You can also hit ctrl + a to select all items in the message list. If you prefer the mouse, you can goto "Menu -> Page -> select all" as long as the message list is properly focused when you do it.

From there, you can perform an operation on the selection. You can right-click the selection to see what you can do. There will be hints in the context menu for keyboard shortcuts to do the same. You can delete (del) or delete permanently (shift + del). You can mark as read (k). All kinds of things. You can even drag (copy or move depending) (or hold down ctrl and drag (copy) or shift and drag (move) a selection from one message list to another view. It just depends on the situation. You can even cut/copy and paste from one message list to another in some situations.

In short, things kind of work like they do on files and folders in Windows Explorer (file explorer).