You can't select multiple items in the Tree at the left. Find another way to do what you want. There are many.
Select Albums and add them to a Playlist, then use the Playlist to group everything together to Copy, Move, whatever.
If you are just copying them to another drive, use the Playlist to select the files, then RM&CF function to copy the files. Note that most Modes of using the RM&CF function will add the file copies to the Library, and they will then be duplicates.
If you are copying the files to another drive just to use on another system, you can use the Playlists in Handheld Sync. In that case the copied files won't be added to the Library. Plus there are a bunch of other controls.
If you simply want to copy a few Albums, you can use the Album View and right-click on thumbnails after single-clicking the first Album to select it, which will add the extra Albums to the selection. The details of the selected Albums (Track lists) will be shown in the bottom Pane.
There are more ways, but building a Playlist is the easiest way to do what you briefly described. If you use the "Build Playlist" function in the Action Window, then Drag & Drop to add Albums or Tracks, the process is very easy.