An easy way to select icons that are adjacent to one another is to simply drag the mouse pointer through them. The big trick here is knowing the difference between moving the mouse pointer and dragging the mouse pointer, and also being aware of which you're doing at all times. To move the mouse pointer means to move the mouse without holding down any mouse buttons. To drag the mouse pointer means to hold down the left mouse button while you're moving the mouse.
Selecting icons by dragging the mouse pointer through them involves first moving the mouse pointer into position, then dragging the mouse pointer through the icons you want to select. Here are the exact steps, starting from the beginning:

Click here to
see an animation of selecting icons by
dragging the mouse pointer through them.