"I want to edit more than one object at a time in my drawing, but when I try to select more than one object, it deselects the one I picked before."This is due to a system setting labeled "Use Shift to Add to Selection" in the options dialog box, on the Selection tab. This setting sets the system variable "PICKADD". When this is enabled (turned on or the PICKADD variable set to 1), AutoCAD forces you to hold the Shift key down while picking to select multiple objects to edit.
So, if you want to select multiple objects to edit WITHOUT having to hold the shift key down while picking, make sure the "Use Shift to Add to Selection" is NOT enabled (PICKADD set to 0).