Select all is a term that describes the process of select all text, files, or other objects currently being listed. In most programs, pressing Ctrl+A selects (highlights) everything in the current window.
For example, while in Microsoft Word if you press the Ctrl+A shortcut key, all text in the document would be selected. In Explorer, pressing Ctrl+A selects all drives, files, and folders in the open location.
Once everything is selected, you can press and hold down only the Ctrl key and click with your left mouse button to unselect files. For example, in Explorer, after everything is selected, if you wanted three files to not be part of the selection you can hold down Ctrl and click each file you want to unselect.