I haven't tried this with AudioBooks, but I can't imagine that it would work any differently. These methods also work in Finder and in most File dialogs.
To select contiguos files, select the first file then shift-click on the last file. This will select all of the files from the first file selected to the last.
To select files individually, in any order, simply command-click on them and each individual file that you command-click on will be selected.
Once you've selected the files that you want to work on, you can then perform the operation that you want to by choosing one of the highlighted files and all of the selected files will be affected.