Some email programs allow you to click on the first attachment, and ctrl-click
on subsequent. Some even allow you to do ctrl-A to select all the files in the
folder.
But if I were on the receiving end of your email, I would hate to save all the
individual attachments separately. (it really gets to be a boring job--prone to
errors--some files could be missed.)
I think your recipient would be much happier if you zipped all your files into
one .zip file. Then they can file that one attachment and unzip it to a
dedicated folder.
I use a program called winzip (
http://www.winzip.com) that is very nice. They
offer an evaluation version if you want to try before you buy.
David McRitchie has suggested UltimateZip (
http://www.ultimatezip.com) a free
program that zips and unzips.
(I've never used it, but David likes it.)