I can reproduce in Windows file manager:
- Open an Explorer window
- Select a file
- Press Shift+Delete: a confirmation dialog will be shown
- Press Esc to cancel
After a such sequence – almost all the times – clicking in the file manger window does nothing or selects multiple files. Explorer only got confused about the Shift key state: the key is not actually stuck as things work as expected in other applications. By the way, pressing the left or right Shift key once restores the normal behavior.