Clicking the scrollwheel is usually a middle button unless it has been changed to something else in the mouse drivers / control panel.
Another alternative is to use Power Mode where you can change the left button action to toggle select, which is like File Explorer's checkbox mode but a lot less fiddly, since you don't have to aim at the tiny checkboxes for everything.
Edit, there's also a simple add-in which will turn on checkbox mode in all folders, here: