I think this is actually a bug in Win2K. From what I remember, it's down to the order in which you make the selection.
e.g.
If you click on the top file in the list (assuming you've got Explorer in list view), then hold down shift and click on the last file, the selection is messed up.
If you do it the other way around, i.e. click on the bottom file, hold shift, then click on the top, it works okay.
I may have messed the ordering of this up, but you get the principle. I'm sure it was fixed in SP2, though.
In any event, it no longer happens now I've upgraded to XP Pro.
Andy.