Most tech-savvy users know how to select multiple files: Hold down the Ctrl key while clicking each individual file. Of course, that can get a little tricky if you're working with a long list and/or a lot of files: It's too easy to mis-click and "lose" all your selections.
That's why I'm loving an undocumented Vista feature: checkboxes. Instead of holding down the Ctrl key, you simply click a checkbox next to each file you want to select.
To enable this handy option, open any system window (like Computer or Explorer), click the Organize menu, and then choose Folder and Search Options. Next, click the View tab, and then scroll down until you see Use check boxes to select items. Enable it, then click OK.
Presto! Now, whenever you mouse over a file, a checkbox should appear in the left column. Select multiple files, then drag 'em wherever you want or do whatever else you need to do. Also, note that you can click the "master" checkbox next to Name to instantly select all the files (as an alternative to the old-standby Ctrl-A).