The way I do it is select the first one, then scroll down using the scroll arrow to the last one to be selected & select that. Then all between will be selected. I use the old type mac mouse so I am not sure what effect scrolling down by selecting will do. Different programs behave differently when doing that. So perhaps safest to try as I suggested.

BTW I didn't like the new mighty mouse. I took it back to get the old type back ... but mostly because my OS at the time (osx 10.3) didn't properly support it. But the extra button annoyed the heck out of me. Not even exactly the same as windows mouses work.