It's quite tricky to select items using the mouse but it can be done.
Open the History.
Right-click on the item you want to delete. Right-clicking opens a menu and Delete should be one of the options so you can select it and Delete that page.
When the menu disappears you'll notice the next page in the History is properly highlighted.
You can now delete an entire pages in one go using the usual Shift+arrow key to select pages next to eachother.
You can also select multiple pages that aren't next to eachother using CTRL+arrow key (and selecting using the Spacebar - but remember to keep holding down CTRL key). You can't use the left mouse button to select as this selects the page to view.
Incidentally, for anyone who's interested there are loads of really good plug-ins at
Firefox Add-ons page