On a friends computer I selected the first file, held shift and selected the last file I wanted and it would not select multiple files. Is there some other setting?
For test purposes only, switch the Windows Explorer view to Details and try that. You can select the first file and then scroll to the last file (if necessary) and do the Shift-select at that time.
You might also look into the Accessibility settings. I seem to recall that there are alternate settings for shift behavior that might be applied to CTRL behavior too.