In Windows Explorer, browse to find the folder where the files are
located, then highlight the first of these that you want to delete.
Hold the CTRL key down and click on the second file to be deleted. Hold
CTRL again and click on the third file. Release the CTRL key, then
click the <Delete icon, or right click the mouse and click <delete.
You will get a warning message asking you to confirm deletion of these
3 items

Hope this helps.

Pete