in Windows it is easy, just shift + click, but in Mac I cannot do the same trick. I am fed up with cmd + click every single file
There's no exact equivalent that I'm aware of; I usually rubberband-select a region and then command-click the ones I don't want.
Mouse down at the top left of the area you want to select, drag to the bottom right of the area, release. A rubberband will be highlighted as you drag the mouse; all icons within the rubberband will be selected. It's also possible to chain these by holding Shift or Option for the second and successive selections, so you can add additional selections or deselect icons selected previously.