Don't think that works.
However, if you have a folder f and the files a.c, b.c, and c.h in that folder, you can navigate into folder f, and select a.c, b.c, and c.h together in the same file select dialog (shift key or rubberband).
code::blocks will then add all of them to the project in one go and will sort them into "sources", "headers", and "others".