Assuming you're using OSX or Windows, click on the 'Explore' button to open the folder within Explorer or Finder. Then delete the files from there. When back in LimeWire, click 'Refresh' so LimeWire recognizes the files are gone.

If you're using OS9, OS8 or Linux, you can choose multiple files by clicking one, holding shift down, and clicking another. All files between the two will be highlighted, and you can choose delete to them all at once.