I have a problem: my computer doesn't recognize multiple files at once. How do I solve it?

I’ll explain it this way: I select the first file, then I press SHIFT+left click of mouse of the file I want the selection to end. The problem is this: I wanted to add to archive the files, but it’s recognized just the last file I clicked. To be exact, the file where the selection ended. So, what do I do to solve this problem? Help me!