1) Select an asset by clicking on it, then hold SHIFT and click on another assets. In this case, a magnifying glass is selected and has an active box around it.
2) Hold SHIFT and select another asset; alternatively, drag your cursor around multiple assets in a scene to select them.
3) Right click or CTRL+CLICK on the selected assets to open a menu - select Group to group all selected assets.
4) To ungroup assets, follow the same directions and select Ungroup instead.