Quote from PhanxClick the first one, then shift-click the last one.
You can also ctrl-click to select, say, the 1st and 4th mails on the page. Both of these work across pages, so you can click the 1st mail on page 1, then shift-click the last mail on page 4, to open all mails on pages 1-4. Or, ctrl-click the 1st and 4th mails on page 1, the 2nd mail on page 2, etc. Or, combine the two -- shift-click 1-5 on page 1, then ctrl-click 2 on page 2, then shift-click 6 on page 2, so you end up with 1-5 from page 1 and 2-6 on page 2.
Works the same way as shift-click and ctrl-click in Windows Explorer, GMail, and tons of other UIs.
That's awesome, never would have thought to try that and it works like a charm. Thanks for the information.