However you can delete multiple files using the Library window if you wish. On a Mac, select the first one, hold down the SHIFT key & select (click onto) the others. Then press the delete button, you will be asked are you sure & you press yes. I'm not sure about on a pc, but I'd suggest it'd be similar. I'm not sure which key it is for a pc (if you have a SHIFT key then it'll probably be that one.)

Personally I'd prefer to do it this way until somebody advises me it's not good to do it this way. Otherwise why is the delete button there in the first case. So at least you have two options.