The only way to set up multiple files for processing is to use the 'Add to Queue' button (or the ⌘B shortcut) in Handbrake.
This is by design as Handbrake requires you specify a destination folder and file name for the converted video file. If you were able to add all files in a folder, how would Handbrake know the unique output location and name for each rendered file? It doesn't make any guesses about those things, it requires the user to specify them for each render.
Once you've staged each file in the queue you can use the Start button (or the ⌘S shortcut) to tell Handbrake to begin processing the queue.