I admit its a bit wierd. For simplicity I’ll just give you one method, note that many variations exist.
Lets say you want to delete columns 2 to 5:
1) Single click any cell in column 2
2) Keep shift pressed
3) Single click any cell in column 5
4) Right-click on any column number (e.g the “5” of column 5).
5) Select / click “Delete columns”
To select multiple contiguous columns, just drag in the column header (above the ruler), e.g. form 2 to 5, as same as in Excel.
Shift+clicking also can be used in the column header.
However, @Yutaka, there’s a bug:
Click 2 in the column header.
Shift+click 5.
** Only column 2+3+4 are selected.
(Though Shift+dragging is OK.)