Tom,
First you need to get into either windows explorer or "my computer".  When
you find the list of folders you're interested in you do the following:
press and hold the control key on the first folder you want.  Use the
up.down arrows to find the next folder and press spacebar to select.
Repeat until you select all the desired folders.  You can then release the
control key and do a control+c to copy them.  
When you navigate to your thumb drive do a control+v to paste them.  When
you highlight folders jaws will say "selected"

Happy copying
Chris