According to the official documentation of vscode, in the section multiple selection, it says that you can select multiple file with ctrl or shift. However, it seems that you can't do multiple selection by only using your cursor as you wanted to do.

Extract of the documentation on 14/10/2024

You can select multiple files in the Explorer view and Open Editors section to run actions (delete, drag and drop, or open to the side) on multiple items. Hold Ctrl (Cmd on macOS) and select individual files, or hold Shift to select a range of files. If you select two items, you can now also use the context menu Compare Selected command to quickly diff two files.