how can I move multiple files at once?
Your frustration with the Finder is a worldwide sport :) Finder does make things harder sometimes. 

Finder exhibits different behavior depending upon the context (both the source and destination) of your files. 

If you drag files in the same "Volume" (or Drive), it will default to Move. 

If you drag files to a different "Volume" (or Drive), it will default to Copy.

However, this behavior can be inverted by pressing ⌥ while dragging. (That's option or alt in non-apple keyboards).

So for instance if you Drag a set of files to another folder in the same drive (say from your Documents to your Desktop), Finder will default to Move those files. If you intend to Copy, you have to press ⌥. This will change the cursor and a green "+" marble will appear, indicating that you will be making a copy.

If, on the other hand you insert a USB Key and want to Move files from there to your Desktop, Finder will default to Copy (when you drag), so you will have to override it by, again, pressing ⌥. This time the Green "+" Marble will disappear. 

If you happen to have a two-button mouse, you can always drag with the right mouse button; upon release in the destination folder, a contextual menu will appear, asking you for an action (Copy or Move).

Finder doesn't implement cut, so any "move" operation must be manually performed by using the mouse as I've just described. 

There is, albeit for a small price, a very decent Finder "plug-in". I'm talking about Total Finder. It's not a bloated piece of software and has been decently stable since I got it. Among other features (like tabs!) it sports Cut and Paste:


  Use keyboard shortcuts to move files around. Faster than drag &amp; drop.


I do not work for BinaryAge but I do recommend TotalFinder to people who doesn't want to use a full finder replacement (like the excellent PathFinder), but still wants a few details.

All these pieces of software offer trial versions so you can "see for yourself". 

Finally, as already suggested, don't ⌘ and click to move or copy files or you will be effectively deselecting the last one. 

Hope this helps you a little bit more. As a side note, there are some Finder alternatives or enhancements, some of these topics have been discussed here on Ask Different.