In visual studio you can select a block of text by holding down Alt when when selecting text with the mouse. This is very useful for selecting a column of data or tex
The Alt + Shift + arrow key combination still works in VS2008 (at least it does in my default key mappings). It is possible that your key mappings are not set correctly to what you expect to work.
To manually set the key mappings, you need to look at Edit.LineUpExtendColumn, Edit.LineDownExtendColumn, Edit.CharLeftExtendColumn and Edit.CharRightExtendColumn in the keyboard settings and reassign them.