Because it was a bitch to figure out, I’m putting it in my new back up brain.
To select a range of songs in the list, click on the first song, click on Shift (hold it down), and select the last song in the range you want to select.
Sadly, Windows users are used to clicking on the first item in a range, selecting Ctrl+Shift (not just shift), and selecting the last one. Makes me wonder why Apple decided to complicate things for the Windows users. Eh. Oh well.